Weather Anomaly: Panel Data Analysis

Aysel Gündoğdu
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Aysel Gündoğdu: Istanbul Medipol University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue 116, 143-154

Abstract: Although it is assumed that investors who are traded in financial markets are rational, it is tried to be explained by anomalies in behavioral finance theory that this condition does not always obtained. Weather anomaly, which is one of the financial market anomalies, suggests that weather conditions have an effect on the psychology of individuals and thus on investment decisions. In this study, panel data analysis was carried out by using the weather data of 6 countries (Turkey, Italy, the United States, Canada, China, Russia) and the main stock indexes (Bist100, FTSE MIB, Dow Jones Industrial Average, S&P_TSX, Shanghai Composite, MOEX Russia) of the countries in order to test the weather anomaly located in the behavioral finance theory. Daily data were included in the study between 04.01.2010 and 31.07.2019. First of all, the stability of the series was investigated with panel unit root tests and then panel co-integration tests were applied. As a result of Johansen cointegration test, cointegration relationship was found only for Russia and Canada.

Keywords: Weather anomaly; panel data; co-integration (search for similar items in EconPapers)
JEL-codes: C23 G12 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:116:p:143-154

DOI: 10.33203/mfy.973698

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