Weather and stock market volatility: the case of a leading emerging market

Hyein Shim, Hyeyoen Kim, Junyeup Kim and Doojin Ryu

Applied Economics Letters, 2015, vol. 22, issue 12, 987-992

Abstract: This study examines how weather affects the stock market volatilities of a leading emerging market. By analysing both historical and model-free implied volatilities, we find that the historical volatility better captures the weather effect than the implied volatility. We also find that volatilities tend to increase in cloudy, wet and windless weather, and that investors asymmetrically react to extremely high weather conditions in comparison with extremely low weather conditions.

Date: 2015
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DOI: 10.1080/13504851.2014.993129

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