Earticle

초록

영어

Weather conditions are already influential and continue to give economic shocks. Climate changes incrementally draw attentions on evaluating the relations of economic risks. Risks associated with climate change will lead to long-term uncertainty and damage caused by climate change is irreversible. So it is argued that extreme weather or weather conditions affecting the inner emotions or mood of investors ultimately affect the investment decision. On the other hand, according to an efficient capital market theory based on rational expectations hypothesis, share prices, even if weather conditions could affect the transient phenomenon psychological changes of investors, are not affected because they reflect the fundamental value of a company. Contrary to these expectations, Saunders (1993) provides evidence that the weather effect occurs in the US stock market. He argues that a large amount of stock returns are significantly lower when the weather condition is clouded. Zou et al. (2005) also criticizes policy-makers and researchers does not recognize climate change does not directly affect the financial market and is not subject to be regulated. According to psychologists, a continuation of a long-term and extreme cold hot weather leads that people make unthoughtful decisions. These arguments argue that weather conditions, such as temperature, sunlight hours and cloudiness may affect the investment decisions of market participants. This study empirically investigates weather effects on Korean industrial stock returns volatility based on GJR-GARCH model. We focus on the issue about whether the weather effect is associated with foreign investor’s transactions which should not be affected by the domestic weather conditions. To explore the weather effects, we employ 4 types of daily weather indicators (precipitation, sunshine hours, wind speed, and snow) during the period from 2000 to 2012. Our empirical evidence shows that significance of the weather effect in Korean stock market is lower by including foreign investor’s transaction variables. However, either strengthening or weakening the weather effect on stock returns and market volatility depends on types of weather indicators and industrial sectors.

목차

Ⅰ. 서론
 Ⅱ. 날씨와 주식수익률의 선행연구 검토
 Ⅲ. 분석모형과 자료
 Ⅳ. 분석결과
 Ⅴ. 결론
 참고문헌
 Abstract

키워드

저자

• 신범철 [ Beom-Cheol Cin | 경기대학교 경제학과 교수 ] 주저자
• 최국현 [ Kuk-Hyun Choe | 중앙대학교 경영경제대학 경영학부 교수 ] 교신저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]

• 간기

  격월간

• pISSN

  1225-3553

• 수록기간

  1987~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 330