Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index
One of the market anomalies which have been recently taken into consideration in financial literature is weather anomaly. In this study we attempted to determine the relationship between stock returns and weather variables such as temperature, cloud cover, wind speed and visibility in Tehran. Also r...
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Alzahra University
2014-08-01
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doaj-8dba844151a84629a77bd503acf744942020-11-25T01:19:06ZfasAlzahra Universityراهبرد مدیریت مالی2345-32142538-19622014-08-0122395710.22051/jfm.2015.982982Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Indexreza raei0Meysam Mahmoudi azar1Amir Mohsen Gorji2University of Tehran, IranUniversity of Tehran, IranUniversity of Tehran, IranOne of the market anomalies which have been recently taken into consideration in financial literature is weather anomaly. In this study we attempted to determine the relationship between stock returns and weather variables such as temperature, cloud cover, wind speed and visibility in Tehran. Also regarding that Tehran often encounters critical air pollution, we hypothesized a relationship between stock returns and air pollution. We delineated three key implications. First, generally there is no evidence that weather variables or air pollution can affect the stock returns in Tehran. Second, using weather and air pollution variables can help GARCH modeling in conditional variance. Third, there is no evidence of asymmetry (leverage effect) in conditional variance model indicating that GJR-GARCH was incapable to explain the data more clearlyhttp://jfm.alzahra.ac.ir/article_982_77caca03a7a0e112f587e7269c29ccc0.pdfWeatherAir pollutionStock market returnAnomalyGarch |
collection |
DOAJ |
language |
fas |
format |
Article |
sources |
DOAJ |
author |
reza raei Meysam Mahmoudi azar Amir Mohsen Gorji |
spellingShingle |
reza raei Meysam Mahmoudi azar Amir Mohsen Gorji Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index راهبرد مدیریت مالی Weather Air pollution Stock market return Anomaly Garch |
author_facet |
reza raei Meysam Mahmoudi azar Amir Mohsen Gorji |
author_sort |
reza raei |
title |
Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index |
title_short |
Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index |
title_full |
Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index |
title_fullStr |
Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index |
title_full_unstemmed |
Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index |
title_sort |
studying the impact of weather anomaly and air pollution on return of tehran stock exchange index |
publisher |
Alzahra University |
series |
راهبرد مدیریت مالی |
issn |
2345-3214 2538-1962 |
publishDate |
2014-08-01 |
description |
One of the market anomalies which have been recently taken into consideration in financial literature is weather anomaly. In this study we attempted to determine the relationship between stock returns and weather variables such as temperature, cloud cover, wind speed and visibility in Tehran. Also regarding that Tehran often encounters critical air pollution, we hypothesized a relationship between stock returns and air pollution. We delineated three key implications. First, generally there is no evidence that weather variables or air pollution can affect the stock returns in Tehran. Second, using weather and air pollution variables can help GARCH modeling in conditional variance. Third, there is no evidence of asymmetry (leverage effect) in conditional variance model indicating that GJR-GARCH was incapable to explain the data more clearly |
topic |
Weather Air pollution Stock market return Anomaly Garch |
url |
http://jfm.alzahra.ac.ir/article_982_77caca03a7a0e112f587e7269c29ccc0.pdf |
work_keys_str_mv |
AT rezaraei studyingtheimpactofweatheranomalyandairpollutiononreturnoftehranstockexchangeindex AT meysammahmoudiazar studyingtheimpactofweatheranomalyandairpollutiononreturnoftehranstockexchangeindex AT amirmohsengorji studyingtheimpactofweatheranomalyandairpollutiononreturnoftehranstockexchangeindex |
_version_ |
1725140037863997440 |