IDEAS home Printed from https://ideas.repec.org/a/ers/ijebaa/vxiy2023i1p95-106.html
   My bibliography  Save this article

Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Author

Listed:
  • Mr. Dileep N
  • Dr. G. Kotreshwar

Abstract

Purpose: The proposed study is an attempt to determine whether a relationship exists between rainfall index and NSE Nifty index. Design/Methodology/Approach: The study used the monthly mean rainfall data and monthly closing price of Nifty index. The study applied Augmented Dickey-Fuller (ADF) test, correlation analysis, the GARCH (1,1) model, and the Granger Causality test to analyse the interrelationship. Findings: The results of correlation matrix show that there is no interrelationship between the two variables. The GARCH (1,1) model found that the NSE Nifty index is not affected by the rainfall index and Granger Causality test displays that rainfall index does not Granger Cause the Nifty index. Practical implications: As a result, this rainfall index is potentially a distinct and unique asset worth considering portfolio investment strategy. Further studies can be conducted to know the interrelationship between the rainfall index and the other stock indices or any other financial indices. Originality value: According to the authors' knowledge, this is the first empirical study to determine the interrelationship between the rainfall index and the Nifty Index over a longer period of time.

Suggested Citation

  • Mr. Dileep N & Dr. G. Kotreshwar, 2023. "Interrelationship between Rainfall Index and Nifty Index: An Empirical Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 95-106.
    • Handle: RePEc:ers:ijebaa:v:xi:y:2023:i:1:p:95-106
    as

    Download full text from publisher

    File URL: https://ijeba.com/journal/800/download
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
    2. Stephen Keef & Melvin Roush, 2007. "Daily weather effects on the returns of Australian stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 173-184.
    3. Shahzad, Farrukh, 2019. "Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 525-543.
    4. Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010. "Does the weather affect stock market volatility?," Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
    5. Yoon, Seong-Min & Kang, Sang Hoon, 2009. "Weather effects on returns: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 682-690.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nils Muhlack & Christian Soost & Christian Johannes Henrich, 2022. "Does Weather Still Affect The Stock Market?," Schmalenbach Journal of Business Research, Springer, vol. 74(1), pages 1-35, March.
    2. Lu, Jing & Chou, Robin K., 2012. "Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 79-93.
    3. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
    4. Hyein Shim & Maria H. Kim & Doojin Ryu, 2017. "Effects of intraday weather changes on asset returns and volatilities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 35(2), pages 301-330.
    5. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    6. Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.
    7. Kang, Sang Hoon & Jiang, Zhuhua & Lee, Yeonjeong & Yoon, Seong-Min, 2010. "Weather effects on the returns and volatility of the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 91-99.
    8. Renatas Kizys & Wael Rouatbi & Zaghum Umar & Adam Zaremba, 2024. "Air temperature and sovereign bond returns," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(2), pages 179-209, May.
    9. González-Sánchez, Mariano & Arguedas Sanz, Raquel & Segovia San Juan, Ana I., 2024. "The extreme temperature factor in asset pricing models: Evidence from Europe," Finance Research Letters, Elsevier, vol. 66(C).
    10. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    11. Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    12. Mamatzakis, E, 2013. "Does weather affect US bank loan efficiency?," MPRA Paper 51616, University Library of Munich, Germany.
    13. Waldemar Tarczyński & Urszula Mentel & Grzegorz Mentel & Umer Shahzad, 2021. "The Influence of Investors’ Mood on the Stock Prices: Evidence from Energy Firms in Warsaw Stock Exchange, Poland," Energies, MDPI, vol. 14(21), pages 1-25, November.
    14. Zhuhua Jiang & Sang Hoon Kang & Chongcheul Cheong & Seong-Min Yoon, 2019. "The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns," IJFS, MDPI, vol. 7(4), pages 1-14, December.
    15. Schulte-Huermann, Astrid, 2020. "Impact of Weather on the Stock Market Returns of Different Industries in Germany," Junior Management Science (JUMS), Junior Management Science e. V., vol. 5(3), pages 295-311.
    16. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    17. Chatterjee, Sucharita & Ghosh, Dipak, 2021. "Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
    18. Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood, 2017. "Weather Effects on Stock Returns and Volatility in South Asian Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 75-107, June.
    19. Wu, Qinqin & Hao, Ying & Lu, Jing, 2018. "Air pollution, stock returns, and trading activities in China," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 342-365.
    20. Nicholas Apergis & Panagiotis Artikis, 2012. "Weather Conditions and the Bank Lending Channel: A GMM Approach from US Banking," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 17-34, April.

    More about this item

    Keywords

    Rainfall index; NSE Nifty index; GARCH (1; 1) model; Granger Causality test and Distinct asset.;
    All these keywords.

    JEL classification:

    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ers:ijebaa:v:xi:y:2023:i:1:p:95-106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marios Agiomavritis (email available below). General contact details of provider: https://ijeba.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.