Testing weather effect anomalies: Time varying evidence from selected stock markets

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dc.authorscopusid55999317000
dc.authorscopusid56519813700
dc.contributor.authorZeren, Feyyaz
dc.contributor.authorGümüş, Fatih Burak
dc.date.accessioned2022-05-11T14:33:38Z
dc.date.available2022-05-11T14:33:38Z
dc.date.issued2015
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü
dc.description.abstractWeather effect is a financial research field demonstrating that changes in weather conditions have an effect on asset yields. Moreover, Weather effect is one of the leading anomalies in behavioral finance and it has been checked by various tests for different countries and time zones in literature. In this study, whether weather effect anomaly exists in basic stock markets in Turkey, Belgium, France and Greece was analyzed by using time varying bootstrap causality test. Time varying bootstrap causality test is able to identify causality in time zones instead of presenting absolute judgments about series beyond the traditional tests. In the study, daily temperature, humidity and stock market data belonging to these 4 countries between 2001 and 2013 were used. The findings obtained indicate that weather effect anomaly is valid not in the entire data period but in some periods in the stock market. Within this context, it was established that for all country wise stock markets, efficient market hypothesis is valid in some periods whereas weather effect which is one of behavioral finance anomalies also applies in some periods as well. © International Economic Society.
dc.identifier.endpage31
dc.identifier.issn1307-1637
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85057640786
dc.identifier.scopusqualityN/A
dc.identifier.startpage21
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7841
dc.identifier.volume9
dc.indekslendigikaynakScopus
dc.institutionauthorZeren, Feyyaz
dc.language.isoen
dc.publisherInternational Economic Society
dc.relation.ispartofInternational Journal of Economic Perspectives
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectHumidity
dc.subjectStock market
dc.subjectTemperature
dc.subjectTime varying causality
dc.subjectWeather effect
dc.titleTesting weather effect anomalies: Time varying evidence from selected stock markets
dc.typeArticle

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