Author

  • Hammad Hassan Mirza

    • University of Sargodha, Sargodha, Pakistan
    • Pakistan

  • Muhammad Jam e Kausar Ali Asghar

    • COMSATS Institute of Information Technology, Islamabad, Pakistan
    • Pakistan

  • Naveed Mushtaq

    • University of Sargodha, Sargodha, Pakistan
    • Pakistan

Abstract

Financial economists believe that the arbitrage forces in the market are the main reason of market efficiency and these forces are the fundamental concept of efficient market hypothesis (EMH). During last few years, various theoretical and empirical evidences have been presented to support the work of financial modeling for the markets with less than rational investors whose trading strategies are based on psychological factors like mood and emotions. Weather condition is among the substantial factors affecting investors’ mood and emotions. Present study investigates the impact of temperature on stock market returns in emerging economy of Pakistan. Using the daily temperature records and stock market indices of Karachi and Islamabad, the study has employed auto regressive (AR) – generalized autoregressive conditional heteroscedasticity (GARCH) model from 2006 to 2010. Based on AR (1)-GARCH (1, 1) estimation the study has found that weather temperatures of both Karachi and Islamabad are negatively related with Karachi Stock Exchange (KSE) and Islamabad Stock Exchange (ISE) index returns, respectively.

Keywords

References

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How to Cite

Mirza, H. H., Ali Asghar, M. J. e K., & Mushtaq, N. (2012). Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy. Journal of Economics and Behavioral Studies, 4(5), 239-244. https://doi.org/10.22610/jebs.v4i5.323

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Copyright (c) 2012 Hammad Hassan Mirza, Muhammad Jam e Kausar Ali Asghar, Naveed Mushtaq (Author)

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Section

Research Paper

Published in

Vol. 4 No. 5 (2012) Behavioural Finance, Policy & Cross-Cultural Markets View issue contents

Published

2012-05-15

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