Weather Effects on Stock Returns and Volatility in South Asian Markets

Muhammad Fayyaz Sheikh, Syed Zulfiqar Ali Shah, Shahid Mahmood

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)

Abstract

We study the effect of mood-proxy variables on index returns and volatility in six South Asian markets. Our mood-proxy variables include six weather (temperature, humidity, cloud cover, air pressure, visibility, and wind speed), three weather indicator variables (fog, thunder storm and rain or drizzle) and two biorhythmic variables (SAD and lunar phases). We adopt a robust approach and attempt to select the best parsimonious econometric model for each market. Our findings suggest that mood-proxy variables have some convincing influences in South Asian capital markets. In some instances, these variables are influencing returns while in other instances they are influencing volatility.

Original languageEnglish
Pages (from-to)75-107
Number of pages33
JournalAsia-Pacific Financial Markets
Volume24
Issue number2
Early online date15 May 2017
DOIs
Publication statusPublished - 1 Jun 2017
Externally publishedYes

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