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Weather Effects in Transition

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  • Tom Coupe

    ()
    (Kyiv School of Economics, Kyiv Economic Institute)

  • Olha Zadorozhna

    (Bocconi University)

Abstract

This paper tests whether weather affects stock returns in the transition countries of Central and Eastern Europe and the CIS. In these countries, reliable information about the fundamentals of stocks is scarce, and hence the ‘mood’ of investors is more likely to play an important role in investment decisions. Nevertheless, our results suggest that there is little evidence of a systematic effect of weather variables on stock markets in these countries.

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File URL: http://repec.kse.org.ua/pdf/KSE_dp36.pdf
File Function: December 2010
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Bibliographic Info

Paper provided by Kyiv School of Economics in its series Discussion Papers with number 36.

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Date of creation: Dec 2010
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Handle: RePEc:kse:dpaper:36

Note: Submitted to Emerging Markets Review
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Keywords: weather effects; transition countries;

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  1. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance, EconWPA 0412004, EconWPA.
  2. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, American Economic Association, vol. 83(5), pages 1337-45, December.
  3. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(4), pages 526-540, April.
  4. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 157-168, Fall.
  5. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 14(3), pages 337-355.
  6. Kramer, Walter & Runde, Ralf, 1997. "Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?," Empirical Economics, Springer, Springer, vol. 22(4), pages 637-641.
  7. Chang, Tsangyao & Nieh, Chien-Chung & Yang, Ming Jing & Yang, Tse-Yu, 2006. "Are stock market returns related to the weather effects? Empirical evidence from Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 364(C), pages 343-354.
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