CAUSALITY OF WEATHER CONDITIONS IN AUSTRALIAN STOCK EQUITY RETURNS

Svetlana Vlady and PhD Ekrem Tufan
Additional contact information
Svetlana Vlady: Griffith University Department of Accounting, Finance and Economics, Gold Coast campus Queensland, Australia
PhD Ekrem Tufan: Canakkale Onsekiz Mart University School of Tourism and Hotel Management Canakkale,Turkey

Revista Tinerilor Economisti (The Young Economists Journal), 2011, vol. 1, issue 17, 184-197

Abstract: This study investigates causality of weather and its impact on Australian stock market returns. The Australian S&P/ASX Index 200, which includes exclusively Australian domicile companies as well as some weather-sensitive companies, has been selected as a proxy for the Australian capital market. This chapter contributes empirical findings on the impact of weather conditions on stock returns and discusses it from the Efficient Market Hypothesis (EMH) and Behavioral Finance (BF) perspectives. The ARCH and CARCH models along with the Granger Causality test are applied to gain precise and accurate results. On one hand, the capital market could respond to new weather-related information (news) and could incorporate this information in the stock valuation process. Alternatively, stock prices could be affected by the mental and/or physical changes in investors caused by weather conditions.

Keywords: Weather Effect; Granger Causality Test; Australian Stock Exchange; ARCH and GARCH Tests (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://feaa.ucv.ro/RTE/017-24.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aio:rteyej:v:1:y:2011:i:17:p:184-197

Access Statistics for this article

Revista Tinerilor Economisti (The Young Economists Journal) is currently edited by Ionascu Costel

More articles in Revista Tinerilor Economisti (The Young Economists Journal) from University of Craiova, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Ionascu Costel ().