Abstract
Using an account-level dataset consisting of the complete order submissions of various types of traders on the Taiwan Futures Exchange, we perform intraday analyses to investigate whether the weather influences investors' order submission behaviors and subsequent trading performance. The results of our empirical study show that the weather conditions exclusively affect the order aggressiveness of domestic individual traders, not of institutional investors or individual day traders. We also find that the weather negatively affects the trading performance of individual traders. The average daily returns of the most weather-sensitive individual traders are approximately 0.06% (22% per year) lower than those of the least weather-sensitive individual traders. Our study is the first to verify the impact of weather on trader order submission decisions; in addition, our findings provide an alternative explanation for the generally inferior trading performance of individual traders—they are just too weather-sensitive when submitting orders.
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