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Weather and stock market volatility: the case of a leading emerging market
- Authors
- Shim, Hyein; Kim, Hyeyoen; Kim, Junyeup; Ryu, Doojin
- Issue Date
- Aug-2015
- Publisher
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- Keywords
- G02; G14; G15; weather effect; VKOSPI; volatility
- Citation
- APPLIED ECONOMICS LETTERS, v.22, no.12, pp 987 - 992
- Pages
- 6
- Journal Title
- APPLIED ECONOMICS LETTERS
- Volume
- 22
- Number
- 12
- Start Page
- 987
- End Page
- 992
- ISSN
- 1350-4851
1466-4291
- Abstract
- This study examines how weather affects the stock market volatilities of a leading emerging market. By analysing both historical and model-free implied volatilities, we find that the historical volatility better captures the weather effect than the implied volatility. We also find that volatilities tend to increase in cloudy, wet and windless weather, and that investors asymmetrically react to extremely high weather conditions in comparison with extremely low weather conditions.
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Collections - College of Business & Economics > School of Economics > 1. Journal Articles
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