EconPapers    
Economics at your fingertips  
 

Stock market returns and the temperature effect: new evidence from Europe

Christos Floros

Applied Financial Economics Letters, 2008, vol. 4, issue 6, 461-467

Abstract: In this article we investigate if stock market returns are related to temperature. Research in behavioural finance shows that lower temperature can lead to aggression, while higher temperature can lead to both apathy and aggression (Cao and Wei, 2005). Evidence from previous studies suggests that the temperature anomaly is characterized by a negative relationship between stock market returns and temperature. We consider daily financial and temperature data from five European countries: Austria, Belgium, France, Greece and UK. Using a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) method, we find a negative relationship between temperature and stock market returns for Austria, Belgium and France only. Greece and UK show a positive but not significant correlation between temperature and stock market returns. These findings are strongly recommended to financial managers and investors dealing with European stock indices.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfelt:v:4:y:2008:i:6:p:461-467

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFL20

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-03-31
Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:461-467