Weather Effects on Industrial Stock Index Returns and Volatilities: Evidence from Korean Stock Market

2020 ◽  
Vol 18 (5-6) ◽  
pp. 602-618
Author(s):  
Beom Cheol Cin ◽  
Sung Woo Kim ◽  
Byoung Joon Kim
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Stock Exchange ◽  
Weather Conditions ◽  
Stock Index ◽  
Foreign Investors ◽  
Weather Effects ◽  
Financial Deregulation ◽  
Sunshine Hours ◽  
Stock Index Returns

Abstract This study empirically investigates weather effects on Korean stock index returns and market volatility based on the GJR-GARCH-X model. We focus on the issue about whether the weather effect is associated with financial deregulation and foreign investors’ transactions, which should not be affected by the weather conditions in Seoul City. To explore the weather effects by controlling for foreign investors’ trading, we employ daily stock index data and weather indicators (cloud cover, precipitation, sunshine hours, snow, and humidity) during the period from 1981 to 2016. Our empirical results suggest that there is little evidence for weather effects on KOSPI and stock returns by industry listed in the Korea Stock Exchange even if Korean financial market deregulations in 1997 increases foreign investors’ trading, but there is some evidence for weather effects on market volatilities.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

Impact of economic sentiment and economic policy uncertainty on travel and leisure stock return

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abobaker Al.Al. Hadood ◽  
Farid Irani
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Index ◽  
Policy Uncertainty ◽  
Medium Term ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
European Economic ◽  
The Uk ◽  
Stock Index Returns

PurposeThis paper considers the role of economic sentiment and economic policy uncertainty (both domestic and European) in explaining the changes in the contemporaneous and future travel and leisure stock index returns in top European Union (EU) tourism destinations, namely, in France, Germany, Spain and the UK.Design/methodology/approachThe authors conducted the ordinary least square (OLS) regression estimations to investigate the impact of changes in economic sentiment and economic policy uncertainty on travel and leisure stock returns. Furthermore, the authors used predictive regressions to determine whether economic sentiment and economic policy uncertainty are useful predictors over the short- or medium-term for travel and leisure stock returns.FindingsEmpirical results revealed that, in France and Spain, the changes in regional economic sentiments predominantly and positively affected travel and leisure stock index returns. Also, results indicated that changes in European economic sentiment have a strong positive effect on the future travel and leisure stock returns in Spain and the UK over the short run, while in France, changes in European economic policy uncertainty have a weak negative effect on the future travel and leisure stock returns over the medium-term.Research limitations/implicationsThis paper provides valuable practical implications for investors who trade travel and leisure stocks. Traders can use economic sentiment and economic policy uncertainty to establish arbitrageur strategies.Originality/valueThis study is the first to examine the effects of economic sentiment and economic policy uncertainty (both domestic and European) on contemporaneous and future travel and leisure stock returns in a top European tourism destination.

scholarly journals Stock Returns and The Weather Effect: the Case of Ghana

2020 ◽  
Author(s):  
Sampson Atuahene ◽  
Kong Yusheng ◽  
Geoffrey Bentum-Micah
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Weather Conditions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Significance ◽  
Weather Changes ◽  
Brokerage Firms

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

scholarly journals Strong Correlationsof Sharia Market To Conventional Market: Evidence From Indonesia Stock Exchange

2018 ◽  
pp. 87
Author(s):  
Yadi Nurhayadi ◽  
Nuryadi Wijiharjono
Keyword(s):  
Multivariate Analysis ◽  
Interest Rate ◽  
Economic System ◽  
Financial Market ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Strong Correlations ◽  
Islamic Economic ◽  
Exchange Data

Significant differences between Islamic Economic System and Conventional Economic System should generate differences between sharia market and conventional market. Conventional market clearly is influenced by interest rate and speculation that is normal in Conventional Economic System. But, interest rate and speculation are prohibited in Islamic Economic System. Sharia market should be free of interest rate and speculation. In fact, by bivariate and multivariate analysis, financial market indicates that there are strong correlations between sharia market and conventional market. This fact is based on research on Indonesia Stock Exchange data from December 2006 to November 2016 (ten years). Sharia market is represented by Jakarta Islamic Index (JII) and Indonesia Sharia Stock Index (ISSI). Both of them have strong and positive correlation with Jakarta Stock Exchange (JSX) Composite Index or with Jakarta Stock Exchange Liquid (LQ45) Index. Jakarta Composite Index and LQ45 are classified as conventional market. These conditions indicate that sharia market goes together with conventional market in the same character. Is sharia market inconsistent with its sharia principles? Why sharia market is not running on the track?

scholarly journals Stock index manipulation around election announcements: evidence from Pakistan stock exchange

2017 ◽  
Vol 5 (2) ◽  
pp. 87
Author(s):  
Shahbaz Khan ◽  
Razzi Abbas Jafri ◽  
Nida Baig ◽  
Muhammad Shaique ◽  
Muhammad Usman
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Stock Index ◽  
Individual Country ◽  
Policy Makers ◽  
Country Level ◽  
General Elections ◽  
The Impact

The purpose of this study is to find out the impact of political general elections of Pakistan on KSE-100 index. We employed Event study methodology on closing prices of KSE-100 index over the time period January, 1998 to May, 2013. During our sample period, 3 events of political general Elections occurred i.e., Event1 in 2002, Event2 in 2008, and recently Event3 in 2013. We construct an Event window of 11 days consisting of 5 pre-event days, 1 on-event day, and 5 post-event days. Results of this study show that Events 1 -and 2 put significant negative impact on stock returns, while Event3 demonstrates a significant positive impact on stock returns. This study also revealed the pre -and post-event comparison for all of the three events and, suggested that as soon as the political situation of the country changes, behavior of investors towards political general election also changes. Manipulation in stock index has always been remained an inconclusive phenomenon for investors and policy makers. So, further evidence on an individual country level might suggest fruitful guidelines to both investors and policy makers.

scholarly journals Relationship among weather effects, investors' moods and stock market risk: An analysis of bull and bear markets in Taiwan, Japan and Hong Kong

2018 ◽  
Vol 65 (2) ◽  
pp. 239-253
Author(s):  
Yi-Hsien Wang ◽  
Kuang-Hsun Shih ◽  
Je-Wei Jang
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Psychological Impact ◽  
Weather Conditions ◽  
Market Condition ◽  
Stock Market Returns ◽  
Weather Effects ◽  
Intraday Data

Literature shows that weather encourages people to engage in certain behaviors and that three factors, particularly sunshine, temperature, and humidity, have the greatest psychological impact on investors (Edgar Howarth and Michael S. Hoffman 1984). On the contrary, some results indicate that the weather has insignificant effect on investors (Ben Jacobsen and Wessel Marquering 2008; Jing Lu and Robin K. Chou 2012). Hence, our research used three weather variables, namely temperature, humidity, and cloud cover, to detect the effects of extreme weather conditions on stock returns. The sample data used in this study consisted of the intraday data, with thirty minutes stock price, of Taiwan, Japan, and Hong Kong from 2012 to 2015. By taking into consideration the effects of asymmetric volatility, we employed the GJR-GARCH model to capture stock market returns. In addition, as the volatility of the stock market is affected by a number of economic factors, this study included the market situation, whether a bear or bull market type, as an additional condition to explore whether market condition renders the weather effects more significant. The results of this research support relevant literatures and can be used as a reference for investors.

scholarly journals Fluxo de Capital Estrangeiro e Desempenho do Ibovespa

2006 ◽  
Vol 4 (1) ◽  
pp. 79
Author(s):  
Roberto Meurer
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Exchange ◽  
The United States ◽  
Country Risk ◽  
The Other ◽  
Stock Index ◽  
Foreign Investors ◽  
The Difference ◽  
Domestic Companies

In this paper it is discussed and empirically tested the influence of foreign investors flow of resources on the Ibovespa index of the Sao Paulo Stock Exchange from January 1995 to july 2005. Other important variables are considered in the test, including a stock index of the United States, internal and external interest rates, the markets liquidity, exchange rate and country risk. The foreign influence is measured by the difference between the purchases and sells of foreign investors in the market of their participation in the Brazlian market capitalization. The effect of the inflow of resources was not detected straightly, but through an increase of the liquidity, what is compatible with the hypothesis that the foreign investors represent an increase of the base of stockholders of the domestic companies. The inflow of resources, on the other hand, anticipates the behavior of index. Country risk, exchange rate and liquidity of the market were important to explain variations of the Ibovespa.

scholarly journals The Relationship between Firm Sizes and Stock Returns of Service Sector in Ho Chi Minh City Stock Exchange

2016 ◽  
Vol 8 (4) ◽  
pp. 210 ◽  
Author(s):  
Nguyen Thanh Duy ◽  
Nguyen Pham Huu Phuoc
Keyword(s):  
Regression Model ◽  
Stock Returns ◽  
Financial Market ◽  
Firm Size ◽  
Service Sector ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Multiple Regression Model ◽  
Ho Chi Minh City ◽  
The Relationship

<p>The paper aims at investigating the existence of size effect in Vietnamese financial market. Particularly, the relationship between firm size and stock turns would be explored. Having 160 observations of the companies in service sector from 2009 to 2014, the multiple regression model was employed to test that effect. As a result, a significantly negative relationship between firm size and stock returns was studied. Besides, some implications and limitations were also discussed.</p>

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