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Do natural phenomena affect stocks’ yield in Israel?

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  • Ben David Nissim
  • Levkovitch Liran
  • Skalka Eshel

Abstract

This article examines the connection between elements of nature, such as wind velocity, temperature, moon phases, earthquakes and hours of daylight, and the yield of the major index in the Israeli stock exchange. We find that felt earthquakes do not have an affect on yield, while rainy days have a negative affect while wind speed and temperature have a mixed affect.

Suggested Citation

  • Ben David Nissim & Levkovitch Liran & Skalka Eshel, 2012. "Do natural phenomena affect stocks’ yield in Israel?," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 127-133, January.
    • Handle: RePEc:taf:apfiec:v:22:y:2012:i:2:p:127-133
    DOI: 10.1080/09603107.2011.605753
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    References listed on IDEAS

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    1. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    2. 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.
    3. Andrew Worthington & Abbas Valadkhani, 2004. "Measuring the impact of natural disasters on capital markets: an empirical application using intervention analysis," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2177-2186.
    4. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
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    Cited by:

    1. 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.

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