Weather, investor psychology and stock returns: evidence from Fiji's stock market

Janesh Sami

Review of Behavioral Finance, 2021, vol. 15, issue 1, 65-78

Abstract: Purpose - This paper investigates whether weather affects stock market returns in Fiji's stock market. Design/methodology/approach - The author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020. Findings - The results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji. Research limitations/implications - It is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables). Practical implications - Investors and traders should consider their mood while making stock market decisions to lessen mood-induced errors. Originality/value - This is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Keywords: Weather; Stock market returns; Fiji (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eme:rbfpps:rbf-01-2021-0007

DOI: 10.1108/RBF-01-2021-0007

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