Effect of Ap-Index of Geomagnetic Activity on S&P 500 Stock Market Return

Table 1

Variable Specifications.

Measure	Description
DGD	Monthly Geomagnetic activity index (Ap). The data source is Space Weather Prediction Center, a part of NOAA. Data period is Jan. 1998 – Dec. 2017.
SMI	Monthly S&P 500, popular US stock market indices. The data source is Yahoo Finance. Data period is Jan. 1998 – Dec. 2017.
SAD	Seasonal Affective Disorder index. Dummy variable. Variable equals to 1 if the set of indexes occurs in Jan., Feb., Mar., Nov. or Dec., and zero otherwise.
	The monthly highest price in S&P 500.
	The monthly lowest price in S&P 500.
VOLD	The stock trade-off volume among the 500 largest US publicly traded companies per month.
ILLIQ	The market illiquidity among the 500 largest US publicly traded companies per month. Compute the stocks’ illiquidity as the ratio of dollar volume to the price difference. .
YEAR	Period Dummy variable for years 1998 to 2017. For example, macroeconomic environment changes would happen year by year, and this index could control this kind of effect.