This paper investigates the relation between the weather and stock returns in Taiwan. Using the temperature, humidity and cloudiness define the weather effect. The weather influences sentiment and sentiment difference. It helps us to understand the asymmetric effect of the stock returns. Then, we use the SWARCH model that the stock returns has two states (high volatility returns and low volatility returns). We also test the weather has the different influence on the different states. The results in this paper showed the humidity and the stock return from GreTai Securities Market (GTSM) has the significant negative effect. But there was no influence in the Taiwan Stock Exchange (TSE). Moreover, GTSM has the more influence from the weather than TSE on the full or sub-period sample.