Article OPEN
Svetlana Vlady; Ekrem Tufan; Bahattin Hamarat;
  • Journal: Revista Tinerior Economisti(The Young Economists Journal),volume 1,issue 16 April,pages161-175
  • Subject: Weather Effect, Granger Causality Test, Australian Stock Exchange, ARCH and GARCH Tests
    • jel: jel:G10 | jel:G14

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 behav... View more
  • References (29)
    29 references, page 1 of 3

    18. Hirshlefer, D., & Shumway, T.

    19. Jang, K., Lam, R., Harris, J., Vernon, P., & Livesley, J.

    20. Kamstra, M., Kramer, L., & Levi, M.

    21. Kamstra, L., Kramer, L., & Levi, M.

    22. Keef, S., & Roush, M.

    (2003) Winter blues: seasonal affective disorder (SAD) and market returns. American Economic Review 93(1), 324-343.

    (2003) The weather and stock returns in New Zealand.

    Quarterly Journal of Business and Economics, 41(1/2), 61-79.

    Kliger, D., & Levy, (2008) Mood impacts on probability weighting functions: O. 'Large-gamble' evidence, The Journal of SocioEconomics, 37,1397-1411.

    Kramer, W., & (1997) Stock and the weather: An exercise in data mining Runde, R. or yet another capital market anomaly? Empirical Economics, 22, 637-641.

  • Metrics
Share - Bookmark