Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region

Farrukh Shahzad

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 525-543

Abstract: This paper evaluates the relationships between weather variables like humidity, temperature, air pressure, wind speed and status (clear, cloud, rain, haze and snow) with stock returns and volatility in the Greater China region’s stock market. The study focuses on four stock exchanges; Shanghai and Shenzhen stock exchanges from mainland China, Hong Kong stock exchange and Taiwan stock exchange from Hong Kong and Taiwan respectively. Using the robust approach the best peer econometric model for each market was chosen. The results of the study depict that weather variables have a significant effect on Greater China’s capital markets. We are able to analyze that in some cases the variable affects returns as well as volatility

Keywords: Weather; Investor behavior; ARCH GARCH models; Greater China region; Stock returns; Anomaly (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:525-543

DOI: 10.1016/j.physa.2019.02.015

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