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Causality Of Weather Conditions In Australian Stock Equity Returns


  • Svetlana Vlady

    (Griffith University, Griffith Business School Griffith, Queensland, Australia)

  • Ekrem Tufan

    (Canakkale Onsekiz Mart University School of Tourism and Hotel Management Canakkale, Turkey)

  • Bahattin Hamarat

    (Canakkale Onsekiz Mart University School of Tourism and Hotel Management Canakkale, Turkey)


This study investigates causality of weather and its impact on the The S&P/ASX All Australian 200 Index has been selected as a proxy for the Australian capital market. The index consists exclusively of Australian domiciled companies. Following previous research in behaviour finance in the area of environmental psychology, the data set covers temperature, quality temperature, wet bulb temperature, quality wet bulb temperature, humidity, pressure and vapour pressure variables. The data set is a daily return time series and covers the period between 01.06.1992 and 07.07.2006, and was provided by the Australian Bureau of Meteorology. Sydney’s meteorological data was selected to match the stocks that were traded on the Australian Stock Exchange, because Sydney is generally accepted as the financial centre of Australia. Capital market data is of daily–end closing share prices traded on the Australian Stock Exchange and was collected from DataStreem’s database.

Suggested Citation

  • Svetlana Vlady & Ekrem Tufan & Bahattin Hamarat, 2011. "Causality Of Weather Conditions In Australian Stock Equity Returns," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 161-175, April.
  • Handle: RePEc:aio:rteyej:v:1:y:2011:i:16:p:161-175

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    References listed on IDEAS

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    More about this item


    Weather Effect; Granger Causality Test; Australian Stock Exchange; ARCH and GARCH Tests;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)


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