The effect of weather on stock returns: A comparison between emerging and developed markets

Irina Prodan

ISBN 10: 3954890569 / ISBN 13: 9783954890569

Published by Anchor Academic Publishing, 2013

About this Item

nach der Bestellung gedruckt Neuware - Printed after ordering - One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.

Seller Inventory # 9783954890569

Bibliographic Details

• Title: The effect of weather on stock returns: A comparison between emerging and developed markets
• Publisher: Anchor Academic Publishing
• Publication Date: 2013
• Language: English
• ISBN 10: 3954890569
• ISBN 13: 9783954890569
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 155H x 5D millimeters 220 millimeters width by 155 millimeters height by 5 millimeters depth
• Weight: 105 grams

About this title

Synopsis

One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.