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The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange

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  • Waldemar Tarczyński

    (Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland)

  • Sebastian Majewski

    (Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland)

  • Małgorzata Tarczyńska-Łuniewska

    (Department of Econometrics and Statistics, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland)

  • Agnieszka Majewska

    (Department of Sustainable Finance and Capital Markets, Institute of Economics and Finance, University of Szczecin, 71-101 Szczecin, Poland)

  • Grzegorz Mentel

    (Department of Quantitative Methods, The Faculty of Management, Rzeszow University of Technology, 35-959 Rzeszow, Poland)

Abstract

Recent researches on behavioral finance have tested for, among others, evidence for the relations between weather, investors’ mood, and investment decisions. Many of the researches related to the influence of some weather factors, such as sunshine duration on stock exchange returns, but there is no complex research taking into account a wide group of weather factors determining investors’ mood. The main goal of the article is to verify the influence of weather factors on basic market parameters of energy sector companies quoted on the Warsaw Stock Exchange. Rates of return, trading volumes, and values of trading volume are taken into account during the research. All analyses are based on econometric models assuming the existence of typical problems of estimation such as: autocorrelation of residuals, heteroskedasticity, or abnormality of residuals. The best approximation of models was obtained for GARCH (Generalized Autoregressive Conditional Heteroskedasticity) type models.

Suggested Citation

  • 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.
    • Handle: RePEc:gam:jeners:v:14:y:2021:i:6:p:1536-:d:514552
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    Cited by:

    1. 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.
    2. Yuriy Bilan & Serhiy Kozmenko & Inna Makarenko, 2023. "Recent Advances in the Energy Market Development: Current Challenges and Perspectives of Energy Crises in Academia," Energies, MDPI, vol. 16(5), pages 1-6, February.

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