The Relationship of Weather and Returns and Trading Activities: Evidence from Tehran Stock Exchange

The main objective of this study is to evaluate the effect of weather on trading activities and returns in Tehran Stock Exchange. Trading variables include liquidity, turnover and volatility. In order to estimate regression models with time series data, the method of ordinary least squares (OLS) is used. The time period under study is from the beginning of 1387 to the end of 1394. The results show that the mood of persons that is changed according to weather changes has no significant effect on stock’s turnover. But variables such as snow, rain and wind speed have a significant effect on returns, liquidity and volatility. Therefore, in this study, the results show that environmental factors have effect on trading activities and returns except for turnover. So, the climate is one of the factors influencing people's everyday activity. In the meantime, seasonal affective disorder is one of the most important factors affecting the trading behavior of investment.