THE RELATIONSHIP BETWEEN PRICE-TRADE VOLUME AND WEATHER EFFECT IN ISTANBUL STOCK EXCHANGE: ASYMMETRIC CAUSALITY TEST ANALYSIS

Gülfen Tuna and Çisem Bektur
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Gülfen Tuna: Sakarya University, Department of Financial Econometrics
Çisem Bektur: Sakarya University, Department of Financial Econometrics

Studii Financiare (Financial Studies), 2015, vol. 19, issue 4, 6-20

Abstract: This research examines the effects of weather on investor choices. For this purpose, 4772 daily data sets, which are in the range of 1987-2006 years, are used. The article investigates the effect on the investor preferences change in temperature by using daily data. Unlike previous studies in the existing literature, negative and positive effects of change in temperature on investors are researched separately. As indicator parameter of behavior of investors, BIST100 price index and total trade volume are used. Thus, the effects of positive and negative shocks happened in temperature change, are examined both as return and trade volume. According to findings, investors react both positive and negative temperature change in same direction. In other word, positive temperature changes can be assumed as a factor increases the trade volume and positive returns in stock market. Similarly, negative temperature changes affect stock market in direction of decreasing trade volume and returns.

Keywords: Weather Effect; Asymmetric Causality; Behavioral Finance; Turkey (search for similar items in EconPapers)
JEL-codes: G02 G11 G14 (search for similar items in EconPapers)
Date: 2015
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