The Library
Weather effects on stock returns and volatility in South Asian markets
Tools
Sheikh, Muhammad Fayyaz, Shah, Syed Zulfiqar Ali and Mahmood, Shahid (2017) Weather effects on stock returns and volatility in South Asian markets. Asia-Pacific Financial Markets, 24 (2). pp. 75-107. doi:10.1007/s10690-017-9225-2 ISSN 1387-2834.
|
PDF
WRAP-weather-effects-stock-returns-volatility-South-Asian-markets-Shah-2017.pdf - Accepted Version - Requires a PDF viewer. Download (1463Kb) | Preview |
Official URL: http://dx.doi.org/10.1007/s10690-017-9225-2
Abstract
We study the effect of mood-proxy variables on index returns and volatility in six South Asian markets. Our mood-proxy variables include six weather (temperature, humidity, cloud cover, air pressure, visibility, and wind speed), three weather indicator variables (fog, thunder storm and rain or drizzle) and two biorhythmic variables (SAD and lunar phases). We adopt a robust approach and attempt to select the best parsimonious econometric model for each market. Our findings suggest that mood-proxy variables have some convincing influences in South Asian capital markets. In some instances, these variables are influencing returns while in other instances they are influencing volatility.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Accounting Faculty of Social Sciences > Warwick Business School |
||||||||
Library of Congress Subject Headings (LCSH): | Investments -- Psychological aspects -- South Asia, Securities -- South Asia, GARCH model, Weather -- Psychological effect -- South Asia | ||||||||
Journal or Publication Title: | Asia-Pacific Financial Markets | ||||||||
Publisher: | Springer New York LLC | ||||||||
ISSN: | 1387-2834 | ||||||||
Official Date: | June 2017 | ||||||||
Dates: |
|
||||||||
Volume: | 24 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 75-107 | ||||||||
DOI: | 10.1007/s10690-017-9225-2 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 31 May 2017 | ||||||||
Date of first compliant Open Access: | 15 May 2018 |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year