Analysis of Anomalies on the Russian Financial Market

The aim of this work was to see if on the financial market exists the anomaly related to the weather effects and weather anomalies. Changes in the weather could influence on the mood and emotions of individuals. Under the effect of the weather individual (in this research the main individual in investor) could take not the most rational decision about buying or selling this or that asset, investor becomes more or less risk-aversial. Consequently, changes in the volume of demand and supply influence on the forming of the prices on the market, in this case on the price of asset and on its return. Knowing, that, for example, during good sunny weather the prices increases the investor could provide the strategy, which brings excess profit. The time period for the analysis is March 2002- May 2008. The dependent variable is MICEX index return. The main explanatory variables are formed with the help of data on temperature, humidity and cloudy. Results obtained with the OLS in regression model say that the dependency between stock returns (MICEX index) and weather is not strong. The higher the level of cloudless the higher the returns. But with adding variance modeling with ARCH family models this dependency disappears.