WEATHER, MACROECONOMIC VARIABLES AND STOCK MARKET
This study examines the effects of weather on stock return in Hang Seng Index (HSI), Kuala Lumpur Composite Index (KLCI) and Taiwan Stock Exchange Corporation (TSEC) Weighted Index. The weather vairables consist of temperature, humidity, cloud cover and solar radion. Research in psychology has shown...
Saved in:
| Main Author: | |
|---|---|
| Format: | Final Year Project Report |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2013
|
| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/38085/1/Leong%20Sin%20ft.pdf http://ir.unimas.my/id/eprint/38085/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | This study examines the effects of weather on stock return in Hang Seng Index (HSI), Kuala Lumpur Composite Index (KLCI) and Taiwan Stock Exchange Corporation (TSEC) Weighted Index. The weather vairables consist of temperature, humidity, cloud cover and solar radion. Research in psychology has shown that temperature significantly affect mood, and mood changes cause behavior changes. Daily stock return spanning from January 2008 to December 2011 is analyzed using OLS, GARCH (1,1) and Granger Causality. Temperature, cloud cover, solar radiations have no influence on returns. Humidity has a significant influence on returns in Tai Chung and Basan Lepas. Trading volume has a significant influence on reutrns in Malaysia and Taiwan. |
|---|