The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange

Waldemar Tarczyński, Sebastian Majewski, Małgorzata Tarczyńska-Łuniewska, Agnieszka Majewska and Grzegorz Mentel
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Waldemar Tarczyński: Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Sebastian Majewski: Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Małgorzata Tarczyńska-Łuniewska: Department of Econometrics and Statistics, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Agnieszka Majewska: Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland
Grzegorz Mentel: Department of Quantitative Methods, The Faculty of Management, Rzeszow University of Technology, 35-959 Rzeszow, Poland

Energies, 2021, vol. 14, issue 6, 1-14

Abstract: Recent researches on behavioral finance have tested for, among others, evidence for the relations between weather, investors’ mood, and investment decisions. Many of the researches related to the influence of some weather factors, such as sunshine duration on stock exchange returns, but there is no complex research taking into account a wide group of weather factors determining investors’ mood. The main goal of the article is to verify the influence of weather factors on basic market parameters of energy sector companies quoted on the Warsaw Stock Exchange. Rates of return, trading volumes, and values of trading volume are taken into account during the research. All analyses are based on econometric models assuming the existence of typical problems of estimation such as: autocorrelation of residuals, heteroskedasticity, or abnormality of residuals. The best approximation of models was obtained for GARCH (Generalized Autoregressive Conditional Heteroskedasticity) type models.

Keywords: weather; energy sector; econometrics; mood; behavioral finance (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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