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Weather Effects in Transition

Author

Listed:
  • Tom Coupe

    (Kyiv School of Economics, Kyiv Economic Institute)

  • Olha Zadorozhna

    (Bocconi University)

Abstract

This paper tests whether weather affects stock returns in the transition countries of Central and Eastern Europe and the CIS. In these countries, reliable information about the fundamentals of stocks is scarce, and hence the ‘mood’ of investors is more likely to play an important role in investment decisions. Nevertheless, our results suggest that there is little evidence of a systematic effect of weather variables on stock markets in these countries.

Suggested Citation

  • Tom Coupe & Olha Zadorozhna, 2010. "Weather Effects in Transition," Discussion Papers 36, Kyiv School of Economics.
    • Handle: RePEc:kse:dpaper:36
    Note: Submitted to Emerging Markets Review
    as

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    File URL: http://repec.kse.org.ua/pdf/KSE_dp36.pdf
    File Function: December 2010
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    References listed on IDEAS

    as
    1. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
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    3. Chang, Tsangyao & Nieh, Chien-Chung & Yang, Ming Jing & Yang, Tse-Yu, 2006. "Are stock market returns related to the weather effects? Empirical evidence from Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 343-354.
    4. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
    5. Kramer, Walter & Runde, Ralf, 1997. "Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?," Empirical Economics, Springer, vol. 22(4), pages 637-641.
    6. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
    7. Dowling, Michael & Lucey, Brian M., 2005. "Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 337-355.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    weather effects; transition countries;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • P2 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies

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