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On the relationship between weather and stock market returns. (2011). Floros, Christos.
In: Studies in Economics and Finance.
RePEc:eme:sefpps:v:28:y:2011:i:1:p:5-13.

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Cited: 8

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Cites: 24

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Cocites: 50

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  1. The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307639.

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  2. Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region. (2019). Shahzad, Farrukh .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:523:y:2019:i:c:p:525-543.

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  3. Weather impact on retail sales: How can weather derivatives help with adverse weather deviations?. (2019). Petljak, Kristina ; Tulec, Ivana ; Naletina, Dora.
    In: Journal of Retailing and Consumer Services.
    RePEc:eee:joreco:v:49:y:2019:i:c:p:1-10.

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  4. Herd behavior and mood: An experimental study on the forecasting of share prices. (2019). Spiwoks, Markus ; Nahmer, Thomas ; Filiz, Ibrahim.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:24:y:2019:i:c:s2214635019300218.

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  5. Effectiveness of Weather Derivatives as a Risk Management Tool in Food Retail: The Case of Croatia. (2017). Tulec, Ivana.
    In: IJFS.
    RePEc:gam:jijfss:v:5:y:2017:i:1:p:2-:d:86707.

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  6. Can (unusual) weather conditions in New York predict South African stock returns?. (2017). GUPTA, RANGAN ; Apergis, Nicholas.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:41:y:2017:i:c:p:377-386.

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  7. Can Weather Conditions in New York Predict South African Stock Returns?. (2016). GUPTA, RANGAN ; Apergis, Nicholas.
    In: Working Papers.
    RePEc:pre:wpaper:201634.

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  8. (Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets. (2016). Smales, Lee ; Gabrielsen, Alexandros ; Apergis, Nicholas.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:30:y:2016:i:1:d:10.1007_s11408-016-0262-z.

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References

References cited by this document

  1. Benth, F. and Saltyte-Benth, J. (2005), “Stochastic modelling of temperature variations with a view towards weather derivatives”, Applied Mathematical Finance, Vol. 12 No. 1, pp. 53-85.

  2. Bollerslev, T. (1986), “Generalised autoregressive conditional heteroscedasticty”, Journal of Econometrics, Vol. 33, pp. 307-27.

  3. Bollerslev, T. and Wooldridge, J.M. (1992), “Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances”, Econometric Reviews, Vol. 11, pp. 143-72.
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  4. Brody, D.C., Syroka, J. and Zervos, M. (2002), “Dynamical pricing of weather derivatives”, Quantitative Finance, Vol. 2 No. 3, pp. 189-98.

  5. Cao, M. and Wei, J. (2002), “Stock market returns: a temperature anomaly”, working paper, Schulich School of Business, York University, Toronto.
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  6. Cao, M. and Wei, J. (2005), “Stock market returns: a note on temperature anomaly”, Journal of Banking & Finance, Vol. 29, pp. 1559-73.

  7. Chang, T., Nieh, C.-C., Yang, M.Y. and Yuang, T.Y. (2006), “Are stock market returns related to the weather effects? Empirical evidence from Taiwan”, Physica A, Vol. 364, pp. 343-54.

  8. Cooper, M.J., McConnell, J.J. and Ovtchinnikov, A.V. (2006), “The other January effect”, Journal of Financial Economics, Vol. 82, pp. 315-41.

  9. Floros, C. (2008a), “Stock market returns and the temperature effect: new evidence from Europe”, Applied Financial Economics Letters, Vol. 4, pp. 461-7.
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  10. Floros, C., Jaffry, S. and Lima, G.V. (2007), “Long memory in the Portuguese stock market”, Studies in Economics and Finance, Vol. 24 No. 3, pp. 220-32.

  11. Further reading Alaton, P., Djehiche, B. and Stillberger, D. (2002), “On modelling and pricing weather derivatives”, Applied Mathematical Finance, Vol. 9 No. 1, pp. 1-20.

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  13. Goetzmann, W.N. and Zhu, N. (2003), “Rain or shine: where is the weather effect”, NBER Working Paper, 9465.

  14. Hirschleifer, D. (2001), “Investor psychology and asset pricing”, Journal of Finance, Vol. 56 No. 4, pp. 1533-98.

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  16. Kamstra, M.J., Kramer, L.A. and Levi, M.D. (2003), “Winter blues: a SAD stock market cycle”, American Economic Review, Vol. 93, pp. 324-33.

  17. Keef, S.P. and Roush, M.L. (2002), “The weather and stock returns in New Zealand”, Quarterly Journal of Business and Economics, Vol. 41, pp. 61-79.
    Paper not yet in RePEc: Add citation now
  18. Keef, S.P. and Roush, M.L. (2005), “Stock prices and Wall Street weather: revisited”, Eurasian Review of Economics and Finance, Vol. 1, pp. 31-44.
    Paper not yet in RePEc: Add citation now

  19. Moller, N. and Zilca, S. (2008), “The evolution of the January effect”, Journal of Banking & Finance, Vol. 32, pp. 447-57.

  20. Pardo, A. and Valor, E. (2003), “Spanish stock returns: where is the weather effect?”, European Financial Management, Vol. 9, pp. 117-26.

  21. Saunders, E.M.J. (1993), “Stock prices and wall street weather”, American Economic Review, Vol. 83, pp. 1337-45.

  22. Symeonidis, L., Daskalakis, G. and Markellos, R.N. (2010), “Does the weather affect stock market volatility?”, Finance Research Letters, Vol. 7, pp. 214-23.

  23. Yuan, K., Zheng, L. and Zhu, Q. (2006), “Are investors moonstruck? Lunar phases and stock returns”, Journal of Empirical Finance, Vol. 13, pp. 1-23.

  24. Zakoian, J.M. (1994), “Threshold heteroscedastic models”, Journal of Economic Dynamics and Control, Vol. 18, pp. 931-55.
    Paper not yet in RePEc: Add citation now

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  3. Introduction to weather derivatives. (2022). Aydin, Caner ; Bem, Julius .
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  4. Climate risks and weather derivatives: A copula-based pricing model. (2021). Romagnoli, Silvia ; Bressan, Giacomo Maria.
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  6. Pricing Temperature Derivatives under a Time-Changed Levy Model. (2020). Olivares, Pablo.
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  8. Is temperature-index derivative suitable for China?. (2019). Lu, Xunfa ; Tang, Yinshan ; Dzandu, Michael D ; Zhou, Ying ; Cui, Hairong.
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  9. Hedging of crop harvest with derivatives on temperature. (2019). Hainaut, Donatien.
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  10. PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS. (2018). Hess, Markus.
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  12. Putting a price tag on temperature. (2018). Mamon, Rogemar ; Xiong, Heng.
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  14. Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Ikpe, Dennis ; Ngare, Philip ; Gyamerah, Samuel Asante.
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  15. Hedging of crop harvest with derivatives on temperature. (2018). Hainaut, Donatien.
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  17. Robust portfolio selection problem under temperature uncertainty. (2017). Gulpinar, Nalan ; Anakolu, Ethem.
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