Weather Impacts on Chinese Stock Return—Evidence from 7 Cities in China

DOI

10.2991/assehr.k.191221.075How to use a DOI?

Keywords

behavioral economics, weather effect, stock index, GARCH

Abstract

Behavioral economics believes that weather could influence the investor’s sentiment, which in turn interferes with the investor’s investment behavior and trigger the volatility of the stock market. This paper takes this as the research direction and combines China’s weather variables with the stock market to conduct an empirical analysis. We collect the weather variables and calculate the weighted average to test the effects of temperature, humidity, dew point, wind speed, pressure. In addition, we establish a link between these weather variables and Shanghai Composite Index, from January 4, 2016, to January 4, 2019. The generalized autoregressive conditional heteroscedasticity (GARCH) model is used to fit the volatility of each weather variable with the stock index of the Shanghai Composite Index. The empirical results show that weather effect exists in China’s securities market. This paper gives investors some suggestions to help them to view their investment behavior rationally and provides some reference value for market regulators and meteorological departments.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yun Sun
AU  - Haomin Zhang
AU  - Pu Wu
AU  - Shaosong Wang
PY  - 2020
DA  - 2020/01/09
TI  - Weather Impacts on Chinese Stock Return—Evidence from 7 Cities in China
BT  - Proceedings of the 2019 3rd International Conference on Education, Economics and Management Research (ICEEMR 2019)
PB  - Atlantis Press
SP  - 318
EP  - 320
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.191221.075
DO  - 10.2991/assehr.k.191221.075
ID  - Sun2020
ER  -