Weather effects on the Amsterdam stock exchange

This paper examines the relationship between the weather in the Netherlands and the returns on three indices of the Amsterdam Euronext stock exchange: AEX, AMX, and AScX. The research uses daily data from March 3rd, 2015 to May 9th, 2019, and incorporates normality tests, correlation analyses, OLS regressions, and a GARCH model. Overall, the largest AEX index did not demonstrate significant weather effects even after controlling for other factors such as macroeconomic environment, market sentiment, and foreign weather. The AMX and AScX indices exhibit relatively weak weather effects. AMX is significantly and negatively correlated to the mean windspeed in the Netherlands, and AScX has a significant positive correlation with the mean sea level pressure in the Netherlands. Nevertheless, new research can be done about weather variable selection and further explanatory variable selection.