Mood and Stock Returns: The effect of weather conditions and biorhythm on the Dutch stock market

This master thesis investigates the influence of mood classified as investor sentiment in financial markets on Dutch stock market returns. The Dutch weather and biorhythm are used as mood-proxy variables to measure its influence on the large-cap AEX Index and the small-cap AScX Index between 2005 and 2016. The statistical significance is evaluated using Ordinary Least Squares regression analysis with Newey-West standard errors and Least Absolute Deviations. The results do not violate the efficient market hypothesis for large-cap stocks in the Netherlands. Significant effects are found for Seasonal Affective Disorder and temperature on small-cap stocks, but these regression coefficients are smaller than 0.0005.