1. Weather effects on the returns and volatility of the Shanghai stock market 報告人 : 碩研國企二甲 吳育華 MA360202

2. Introduction This study investigates the weather effects on investors' mood and sentiment in the stock markets. To date, market liberalization and globalization increase the proportion of foreign investors in the local stock markets, which leads to weak weather effects in the markets. In light of the efficient market hypothesis (EMH) that share prices are justified by firms’ fundamental values, there is no weather effect on their returns and volatility.

3. Shanghai A-and B-shares

4. Weather variables Shanghai weather is mild temperature, high humidity and low sunshine.

5. Weather effect on returns

6. Weather effect on volatility

7. Significant weather dummies in the returns and volatility The post-opening period of the B-share market has more significant weather dummies than the pre-opening period.

8. Conclusions Various weather conditions affect investor‘s decisions making, which may influence the movement of stock returns and volatility. This finding suggests:  The existence of weather effect raises questions about the validity of EMH in Chinese stock markets.  Incorporating weather variables into asset pricing models may be useful to understand the dynamics of Chinese stock markets.