Weather effects on returns: Evidence from the Korean stock market

Seong-Min Yoon and Sang Hoon Kang

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 5, 682-690

Abstract: In this study, we attempted to determine whether a relationship exists between stock returns and the weather variables of temperature, humidity, and cloud cover in the Korean stock market. We delineated three key implications with regard to weather effects. First, after the 1997 financial crisis, the presence of a weather effect disappeared. Second, the inclusion of weather variables helps to model the GJR-GARCH process in the conditional variance. Third, the interaction effects of weather variables fully demonstrate the weather effect, but the interaction effects also vanished after the crisis. Overall, the findings of this study indicate that the weather effect was weakened as the result of heightened market efficiency.

Keywords: Anomaly; Efficient market hypothesis; Mood; Financial crisis; Weather effect (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (32)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:5:p:682-690

DOI: 10.1016/j.physa.2008.11.017

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