Study on Weather Effect of SSE Composite Index

Ying Ren (), Yuehui Liu (), Peng Liu () and Yingling Tan ()
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Ying Ren: Beijing Jiaotong University
Yuehui Liu: Beijing Jiaotong University
Peng Liu: Beijing Jiaotong University
Yingling Tan: China Development Bank

A chapter in IEIS 2020, 2021, pp 381-397 from Springer

Abstract: Abstract With the rise of behavioral finance, the factors affecting investor behavior have been discovered. Natural environment can not be underestimated among many influencing factors. Therefore, starting from the weather, we propose a new transmission mechanism hypothesis of “weather—investor sentiment—investor behavior—stock market volatility”. In this study, with return rate, turnover rate and volatility of SSE Composite Index as the dependent variable and air temperature, air pressure, light, humidity and volatility as the independent variable, the correlation between weather indicators and SSE Composite Index was discussed through EGARCH fitting regression, we finally found that weather can affect SSE Composite Index, and the volatility of SSE Composite Index can reflect the effects of weather on investor behavior more directly. The changes in the weather have stronger influence on the volatility of SSE Composite Index than the weather indicators.

Keywords: Weather; Changes in weather; Return rate; Turnover rate; Volatility (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-33-4363-4_29

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DOI: 10.1007/978-981-33-4363-4_29

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