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The effect of weather on the European stock market

Author

Listed:
  • Nikolaos Sariannidis
  • Grigoris Giannarakis
  • Xanthi Partalidou

Abstract

Purpose - The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach - The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings - The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value - This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

Suggested Citation

  • Nikolaos Sariannidis & Grigoris Giannarakis & Xanthi Partalidou, 2016. "The effect of weather on the European stock market," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 43(9), pages 943-958, September.
    • Handle: RePEc:eme:ijsepp:v:43:y:2016:i:9:p:943-958
    DOI: 10.1108/IJSE-04-2015-0079
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    Citations

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    Cited by:

    1. Chinnadurai Kathiravan & Murugesan Selvam & Sankaran Venkateswar & S. Balakrishnan, 2021. "Investor behavior and weather factors: evidences from Asian region," Annals of Operations Research, Springer, vol. 299(1), pages 349-373, April.
    2. Susana Garrido Azevedo & Radu Godina & João Carlos de Oliveira Matias, 2017. "Proposal of a Sustainable Circular Index for Manufacturing Companies," Resources, MDPI, vol. 6(4), pages 1-24, November.
    3. Waldemar Tarczyński & Sebastian Majewski & Małgorzata Tarczyńska-Łuniewska & Agnieszka Majewska & Grzegorz Mentel, 2021. "The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange," Energies, MDPI, vol. 14(6), pages 1-14, March.

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