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 The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns

2019 ◽  
Vol 7 (4) ◽  
pp. 70
Author(s):  
Zhuhua Jiang ◽  
Sang Hoon Kang ◽  
Chongcheul Cheong ◽  
Seong-Min Yoon
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weather Conditions ◽  
Extreme Weather ◽  
Strong Impact ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting results. First, extreme weather conditions have a significant impact on the stock returns of the Shenzhen Exchange, indicating that the Shenzhen market is inefficient. Second, during the pre-QFII period, extreme weather conditions have a strong impact on the returns of the Shenzhen stock market, but the impact is significantly weaker in the period after QFII. This means that the efficiency of the Shenzhen stock market has significantly increased since the QFII program due to the market openness to foreign institutional investors. We emphasize the role of foreign investors not affected by local weather conditions by observing how market opening affects extreme weather impacts on stock market returns.

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.

SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS

2019 ◽  
Vol 14 (01) ◽  
pp. 1950004
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Herd Behavior ◽  
Market Returns ◽  
Short Term ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Market Return ◽  
Market Index

The study analyzes the predictability of stock market returns based on the previous day’s cross-sectional market-wide herd behavior. Assuming that herding may lead to stock price overreaction and result in subsequent price reversals, I suggest that daily stock market returns may be higher (lower) following trading days characterized by negative (positive) market returns and high levels of herding. Analyzing the daily price data for S&P 500 Index and all its constituents and employing two alternative market-wide herding measures based on cross-sectional daily deviation of stock returns, I document that the days of both positive and negative market returns tend to be followed by price reversals (drifts), if the market-wide levels of herding are high (low). The herding effect on the next day’s stock market returns is found to be more pronounced following the days when the sign of the market return corresponds to the direction of the longer-term stock market tendency and the days characterized by relatively large stock market movements. The effect also remains significant after accounting for the specific numerical value of the market return.

scholarly journals Assessment of the correlation between price-earnings ratio and stock market returns of universal banks in the Philippines

2019 ◽  
Vol 8 (5) ◽  
pp. 172-181
Author(s):  
Antonio Jaramillo Dayag ◽  
Fernando Trinidad
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Assessment Tool ◽  
Stock Exchange ◽  
Pearson Correlation ◽  
Banking System ◽  
Price Volatility ◽  
The Philippines ◽  
Stock Market Returns

Universal banks are important economic drivers in the Philippines since they provide the financial backbone for businesses and investments. Universal banks comprise 90% of the country’s banking system resources. Eleven [11] of the twenty-one [21] universal banks in the country are listed in the Philippine Stock Exchange, and these banks are the top universal banks based on capitalization. Price to Earnings Ratio [PER] is a commonly utilized investment assessment tool and this ratio indicates how much investors are willing to pay for a stock and is calculated as the ratio of the stock price over earnings per share. Since the stock price is dictated by the stock market, this paper seeks to determine if the P/E ratio of universal banks in the Philippines is correlated to its stock returns, the implication of which is how to form an appropriate balance between stock price volatility and banks’ valuation. The paper uses panel data of the 11 listed universal banks from 2010 to 2018, using Pearson Correlation. The study resulted in a generally weak correlation, however, there were banks that exhibited strong, positive, significant correlation.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Impact of the Pandemic on Information and E-Commerce Stock Market Returns: The Case of Hong Kong

2021 ◽  
Author(s):  
Jiangsheng Zhao ◽  
Zhibin Xu ◽  
Jiansong Zheng ◽  
Binglin Tang ◽  
Yaoxi Jin
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals Does switching trading venues create value? Evidence from Hong Kong

2020 ◽  
Vol 27 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Johnny K.H. Kwok
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Abnormal Returns ◽  
Excess Returns ◽  
Trading Activity ◽  
Content Type ◽  
Growth Enterprise Market ◽  
Two Measures ◽  
Hong Kong Stock Market

PurposeThe purpose of this paper is to study whether switching trading venues create value in the Hong Kong stock market.Design/methodology/approachBy using an event study, the paper investigates the abnormal returns (AR) earned by firms in the Growth Enterprise Market (GEM) relating to switching to the Main Board (MB). Two measures, turnover of the stock and Amihud’s (2002) illiquidity ratio, are used to examine the liquidity effects.FindingsThe switch is accompanied by a long-term increase in stock price for low liquidity firms only. High liquidity firms underperform with persistent negative excess returns after switching, while the transient negative excess returns in low liquidity firms reverse gradually. The results further show a significant increase in trading activity for low liquidity firms following the switch, while there is a significant decline in both trading activity and liquidity in firms with high liquidity. The overall results suggest that moving from GEM to the MB is beneficial to low liquidity firms but detrimental to high liquidity firms.Originality/valueThis study is the first to investigate whether moving from GEM to the MB creates value in the Hong Kong stock market.

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