Weather-Induced Moods and Stock-Return Autocorrelation

Anya Khanthavit
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Anya Khanthavit: Faculty of Commerce and Accountancy, Thammasat University, Bangkok, Thailand.

Zagreb International Review of Economics and Business, 2020, vol. 23, issue 1, 19-33

Abstract: TMoods affect investors’ attention, memory, and capacity to process information. Inattentive investors delay the price adjustment process, thus leading to a positive autocorrelation of asset returns. In this study, I investigate the relationship between weather-induced moods and stock-return autocorrelation in the Stock Exchange of Thailand from January 2, 1991, to December 29, 2017. Only good moods contribute significantly to return autocorrelation. JEL Classification: G40, G41

Keywords: iinformation processing; moods; limited attention; return autocorrelation; weather effects (search for similar items in EconPapers)
Date: 2020
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DOI: 10.2478/zireb-2020-0002

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