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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Main Authors: reza raei, Meysam Mahmoudi azar, Amir Mohsen Gorji
Format: Article
Language:fas
Published: Alzahra University 2014-08-01
Series:راهبرد مدیریت مالی
Subjects:
Online Access:http://jfm.alzahra.ac.ir/article_982_77caca03a7a0e112f587e7269c29ccc0.pdf
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spelling 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
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