The general theory of market efficiency assumes that the markets are efficient and deviations, in other words anomalies, do not exist. The theory of behavioural finance takes different approach because inefficiencies and deviations are appearing in the real world. This thesis concentrates on a seasonal anomaly called the Seasonal Affective Disorder (SAD). When the daylight is decreasing, SAD effect causes seasonal depression for people in different locations and the impact seems to be more powerful when moving away from equator to up north. The main aims are to solve significance of controversial weather variables and examine the inefficiencies and the implication in some Nordic stock markets, which can be caused by the SAD during the years 2000-2016.
In this thesis, the efficient market section goes through the principles of asset pricing, dynamics of the efficient market theory and limits of arbitrage. The behavioural finance section explains by means of psychological biases, why investors could act irrationally. The topic introduces fundamental and calendar anomalies, including the SAD phenomenon. The empirical part run regression for Finnish indices with and without weather variables. The aim is to solve necessity of weather variables due to contradictory conclusions of recent research work about the SAD with weather variables. The regressions are run without weather variables also for all Nordic indices because the second aim is to find out the seasonal impact of the SAD to stock returns. Daily log returns are used in the regression analysis with seasonal dummies and SAD variables, which tells the length of the night in specific latitude.
A Significant seasonal pattern of average stock returns and a weak SAD phenomenon are appearing among all indices during 2000-2016. However, the weather variables seem to be unnecessary for empirical analysis. The SAD is asymmetrical for several indices but in opposite direction than a known theory assumes.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format
