Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations

Sucharita Chatterjee and Dipak Ghosh

Physica A: Statistical Mechanics and its Applications, 2021, vol. 571, issue C

Abstract: In the present paper, a cross correlation between the global temperature anomalies and the SENSEX fluctuations in India for a period from 2005 to 2016 has been studied. The two time series selected for the present analysis are both inherently non-linear and a very efficient non-linear technique Multifractal detrended cross correlation analysis (MF-DXA) has been applied. The basic idea behind this analysis has originated from the fact that weather conditions affect the moods and emotional states of an individual which influence the decision taking ability of an individual. The psychologists over the years from their researches and experiences have observed that the human psychology is possibly influenced by the weather conditions. In this regard, several research works have been performed to explore the influence of the different weather variables like, temperature, cloud cover, rain, humidity, wind speed on the moods of the investors which in turn affect the rise and fall of the stock returns. With this in view, the influence of global warming in terms of the global temperature anomalies on the fluctuations of the SENSEX values of India has been examined. The observed positive values of the global temperature anomalies is a clear manifestation of the Global warming. The SENSEX or the Sensitive Index is regarded as the prime indicator of the Indian Stock Market which correctly gauges the performances of the Indian Stock Market. The result obtained shows that the value of the cross correlation coefficient is γX= -0.46 ± 0.01, which confirms the fact that the two time series are strongly cross correlated.

Keywords: SENSEX; Temperature anomalies; Degree of multifractality; Autocorrelation; Cross correlation; Long-range correlation (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:571:y:2021:i:c:s037843712100087x

DOI: 10.1016/j.physa.2021.125815

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