Effects of intraday weather changes on asset returns and volatilities
Hyein Shim (),
Maria H. Kim () and
Doojin Ryu ()
Additional contact information
Hyein Shim: Korea Public Finance Information Service, Metrotower 10, Toegye-ro, Jung-gu, Seoul, 04637, Republic of Korea
Maria H. Kim: University of Wollongong, Northfields Avenue, Wollongong, New South Wales 2522, Australia
Doojin Ryu: Sungkyunkwan University, College of Economics, 25-2, Sungkyunkwan-ro,Jongno-gu, Seoul 03063, Republic of Korea
Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, 2017, vol. 35, issue 2, 301-330
Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices. We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.
Keywords: asset returns; behavioral finance; GJR-GARCH; intraday analyses; weather effect; volatility (search for similar items in EconPapers)
JEL-codes: G02 G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rfe:zbefri:v:35:y:2017:i:2:p:301-330
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