Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978665 | Physica A: Statistical Mechanics and its Applications | 2009 | 9 Pages |
Abstract
In this study, we attempted to determine whether a relationship exists between stock returns and the weather variables of temperature, humidity, and cloud cover in the Korean stock market. We delineated three key implications with regard to weather effects. First, after the 1997 financial crisis, the presence of a weather effect disappeared. Second, the inclusion of weather variables helps to model the GJR-GARCH process in the conditional variance. Third, the interaction effects of weather variables fully demonstrate the weather effect, but the interaction effects also vanished after the crisis. Overall, the findings of this study indicate that the weather effect was weakened as the result of heightened market efficiency.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Seong-Min Yoon, Sang Hoon Kang,