publication . Article . 2011

CAUSALITY OF WEATHER CONDITIONS IN AUSTRALIAN STOCK EQUITY RETURNS

Svetlana Vlady; Ekrem Tufan; Bahattin Hamarat;
Open Access
  • Published: 01 Jan 2011 Journal: Revista Tinerior Economisti(The Young Economists Journal), volume 1, issue 16 April, pages 161-175
Abstract
This study investigates causality of weather and its impact on the The S&P/ASX All Australian 200 Index has been selected as a proxy for the Australian capital market. The index consists exclusively of Australian domiciled companies. Following previous research in behaviour finance in the area of environmental psychology, the data set covers temperature, quality temperature, wet bulb temperature, quality wet bulb temperature, humidity, pressure and vapour pressure variables. The data set is a daily return time series and covers the period between 01.06.1992 and 07.07.2006, and was provided by the Australian Bureau of Meteorology. Sydney’s meteorological data was...
Subjects
free text keywords: Weather Effect, Granger Causality Test, Australian Stock Exchange, ARCH and GARCH Tests, jel:G14, jel:G10
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