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Effects of intraday weather changes on asset returns and volatilities

Hyein Shim ; Korea Public Finance Information Service, Metrotower, 10, Toegye-ro, Jung-gu, Seoul, Republic of Korea
Maria H. Kim ; University of Wollongong, Northfields Avenue, Wollongong, New South Wales 2522, Australia
Doojin Ryu orcid id ; Sungkyunkwan University, College of Economics, 25-2, Sungkyunkwan-ro, Jongno-gu, Seoul 03063, Republic of Korea

Puni tekst: engleski pdf 984 Kb

str. 301-330

preuzimanja: 792



Analyzing the intraday dataset on weather and market information with the use of
the extended GJR-GARCH framework, this study explores in depth the weather
effects on the asset returns and volatilities of the Korean stock and derivatives
markets. Our intraday analyses contribute to the existing literature by going
beyond the attempt of prior studies to capture the weather effects using the average
daily observations alone. The empirical results document a modest presence of the
weather effect on the returns and volatilities, though the significance of its impact
is found to vary across different market conditions and indices. We also find that
the return and volatility respond asymmetrically to extremely good and bad
weather conditions. The intraday analyses show that the weather effect on the
returns and volatilities is more statistically significant at the beginning of the
working day or the lunch break, indicating the intraday weather effects on the
financial market.

Ključne riječi

asset returns; behavioral finance; GJR-GARCH; intraday analyses; weather effect; volatility

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