Effects of Intraday Weather Changes on Asset Returns and Volatilities

Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 35, No. 2, 2017, pp. 301-330

30 Pages Posted: 26 Jan 2018

See all articles by Hyein Shim

Hyein Shim

Republic of Korea Public Finance Information Service

Maria Kim

University of Wollongong

Doojin Ryu

Sungkyunkwan University

Date Written: December 22, 2017

Abstract

Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices. We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

Keywords: asset returns, behavioral finance, GJR-GARCH, intraday analyses, weather effect, volatility

JEL Classification: G02, G14, G15

Suggested Citation

Shim, Hyein and Kim, Maria and Ryu, Doojin, Effects of Intraday Weather Changes on Asset Returns and Volatilities (December 22, 2017). Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 35, No. 2, 2017, pp. 301-330, Available at SSRN: https://ssrn.com/abstract=3104441

Hyein Shim (Contact Author)

Republic of Korea Public Finance Information Service ( email )

Seoul
Korea, Republic of (South Korea)

Maria Kim

University of Wollongong ( email )

Northfields Avenue
Wollongong, New South Wales 2522
Australia
+61 2 4221 4759 (Phone)
+61 2 4221 4297 (Fax)

Doojin Ryu

Sungkyunkwan University ( email )

53 Myeongnyun-dong 3-ga Jongno-ju
Guro-gu
Seoul, 110-745
Korea, Republic of (South Korea)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
45
Abstract Views
316
PlumX Metrics