“Effect of Wind on Stock Market Returns: Evidence from European Markets,” Hui-Chu Shu and Mao-Wei Hung, Applied Financial Economics, vol. 19, no. 11, 2009, pp. 893–904, DOI 0.1080/09603100802243766. (Thanks to Kajbaje Sudhanshu for bringing this to our attention.)
The authors, at National Taiwan University, report [AIR 16:1]:
This study investigated the relationship between wind speed and daily stock market returns across 18 European countries from 1994 to 2004. A significant and pervasive wind effect was found on stock returns. This finding was supported by psychological literature claiming that mood affects judgment and decision-making in situations involving uncertainty and risk, and coincides with the argument of misattribution. This investigation also found strong seasonality effect and temperature effect in European stock markets. Specifically, the influence of wind on stock returns is demonstrated to be more significant than that of sunlight, indicating that wind might exert a stronger impact on mood than sunshine and hence be a better proxy for mood than sunshine.