Abstract: Sampling the daily market index returns on stock market in the cities of Shang- hai and Shen-zhen from 1997 to 2001, this paper examines the relationship betw een the weather effect and the daily returns. The survey reveals that sunshine i s closely correlated to market returns. Considering that the investment strategy can yield an economically mild sharp statistic increase, substantial applicati on of weather-effect strategies is only profitable to dealers with low transact ion expense,which is difficult to interpret within a fully rational price setti ng.