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Weather Anomaly: Panel Data Analysis

Author

Listed:
  • Aysel Gündoğdu

    (Istanbul Medipol University
    Istanbul Sisli Vocational School)

Abstract

Although it is assumed that investors who are traded in financial markets are rational, it is tried to be explained by anomalies in behavioral finance theory that this condition does not always obtained. Weather anomaly, which is one of the financial market anomalies, suggests that weather conditions have an effect on the psychology of individuals and thus on investment decisions. In this study, panel data analysis was carried out by using the weather data of 6 countries (Turkey, Italy, the United States, Canada, China, Russia) and the main stock indexes (Bist100, FTSE MIB, Dow Jones Industrial Average, S&P_TSX, Shanghai Composite, MOEX Russia) of the countries in order to test the weather anomaly located in the behavioral finance theory. Daily data were included in the study between 04.01.2010 and 31.07.2019. First of all, the stability of the series was investigated with panel unit root tests and then panel co-integration tests were applied. As a result of Johansen cointegration test, cointegration relationship was found only for Russia and Canada.

Suggested Citation

  • Aysel Gündoğdu, 2021. "Weather Anomaly: Panel Data Analysis," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(116), pages 143-154, October.
    • Handle: RePEc:acc:malfin:v:36:y:2021:i:116:p:143-154
    DOI: https://doi.org/10.33203/mfy.973698
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    Keywords

    Weather anomaly; panel data; co-integration;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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