날씨와 산업별 주식수익률 변동성

Abstract

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.