CAUSALITY OF WEATHER CONDITIONS IN AUSTRALIAN STOCK EQUITY RETURNS
CAUSALITY OF WEATHER CONDITIONS IN AUSTRALIAN STOCK EQUITY RETURNS
Author(s): Vlady Svetlana, Hamarat Bahattin, Tufan Ekrem Subject(s): Economy
Published by: Editura Universitaria Craiova
Keywords: critical: Weather Effect; Granger Causality Test; Australian Stock Exchange; ARCH and GARCH Tests
Summary/Abstract: This study investigates causality of weather and its impact on Australian stock market returns. The Australian S&P/ASX Index 200, which includes exclusively Australian domicile companies as well as some weather-sensitive companies, has been selected as a proxy for the Australian capital market. This chapter contributes empirical findings on the impact of weather conditions on stock returns and discusses it from the Efficient Market Hypothesis (EMH) and Behavioral Finance (BF) perspectives. The ARCH and CARCH models along with the Granger Causality test are applied to gain precise and accurate results. On one hand, the capital market could respond to new weather-related information (news) and could incorporate this information in the stock valuation process. Alternatively, stock prices could be affected by the mental and/or physical changes in investors caused by weather conditions.
Journal: Revista tinerilor economişti
- Issue Year: 2011
- Issue No: 17
- Page Range: 184-197
- Page Count: 14
- Language: English
