Abstract

http://ssrn.com/abstract=2155490
 


 



The Impulse Response Functions of Stock Market Returns to Temperature and Precipitation Innovations


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

October 2, 2012

International Research Journal of Applied Finance, 4(3), 429-450, 2013

Abstract:     
This study investigates how returns on the CRSP value-weighted index and other 16 industries respond to the temperature and precipitation innovations. The current study uses the vector autoregression (VAR) to analyze monthly data of the temperature and precipitation indices obtained from the National Climatic Data Center (NCDC) and returns on the CRSP value-weighted index and other 16 industries from 1926:M7 to 2011:M12. Based on the 12-month horizon, the response of the returns on the CRSP value-weighted index to precipitation innovations is mostly positive; the response is only negative in the 4th, 5th and 11th months. The response of returns on the CRSP value-weighted index to the temperature innovations is mostly negative; the response is only positive in the 1st, 4th and 9th months.

Number of Pages in PDF File: 24

Keywords: stock market returns, weather, temperature, precipitation

JEL Classification: G02, G10

Accepted Paper Series





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Date posted: October 2, 2012 ; Last revised: July 14, 2013

Suggested Citation

Sum, Vichet, The Impulse Response Functions of Stock Market Returns to Temperature and Precipitation Innovations (October 2, 2012). International Research Journal of Applied Finance, 4(3), 429-450, 2013. Available at SSRN: http://ssrn.com/abstract=2155490 or http://dx.doi.org/10.2139/ssrn.2155490

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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