This paper investigated the effect of weather (temperature) factor, on the returns and volatility of the Indian stock indices (BSE Sensex and S&P CNX Nifty). This study examined how weather (temperature) affected the volatility of top stock market indices in India. The study used the monthly data of weather in five sample cities (Chennai, Mumbai, Delhi, Kolkata and Hyderabad) in India. This study applied statistical tools like Descriptive Statistics, ADF Test and GARCH (1, 1) model and found that the returns of sample stock market indices were influenced by weather (temperature) factor in Chennai, Mumbai, Kolkata and Hyderabad in India. But the returns of stock indices were not influenced by the temperature in Delhi City.