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Weather Effect in Korean Stock Market: Market Situation and Intraday Patterns of Returns and Trading Activity
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한국 주식시장에서의 날씨효과: 시장상황, 수익률과 거래활동의 일중패턴

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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제20권 제3호 KCI Accredited Journals
Published
2018.1
Pages
1,227 - 1,242 (16page)

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Weather Effect in Korean Stock Market: Market Situation and Intraday Patterns of Returns and Trading Activity
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Abstract· Keywords

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The study analyzed whether there exists the weather effects in KOSPI market. To verify this, it analyzed the relationship between the KOSPI's returns, trading volume, turnover ratio, turnover rate of trading value, implied volatility, realized volatility, and weather condition. The major results are summarized as follows. First, the SAD was found to have negative effect on the turnover rate of trading value. It was found that SAD had more influence on trading activities and volatility than returns. Second, intraday analysis found strong weather effects on the KOSPI after going to work (10:00) and after lunch time (13:00~14:00). This means that investors are affected by the outside weather after attendance time and lunch time, and weather affects their investment decision making. Third, the analysis was carried out by dividing the sample period into the bear market and the bull market. In the case of bear market, the weather effects were stronger than bull market. Fourth, Monday effect was found to be significant for the returns and the realized volatility, and the January effect was found to affect trading activities. According to the results, this study concludes that there is a weather effect in the KOSPI market, especially in times of high uncertainty and risk.
#Weather effect #Market conditions #Returns #Investor sentiment.

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Bagozzi, R. P. / 1999 / The role of emotions in marketing / Journal of the Academy of Marketing Science 27(2):184~206 Crossref Baker, M. / 2004 / Market liquidity as a sentiment indicator / Journal of Financial Markets 7(3):271~299 Crossref Bassi, A. / 2013 / O Sole Mio: an experimental analysis of weather and risk attitudes in financial decisions / Review of Financial Studies 26(7):1824~1852 Crossref Cao, M. / 2005 / Stock market returns: a note on temperature anomaly / Journal of Banking & Finance 29:1559~1573 Crossref Chang, S. C. / 2008 / Weather and intraday patterns in stock returns and trading activity / Journal of Banking & Finance 32(9):1754~1766 Crossref

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