Weather effects on returns: An empirical study of UK stock market
This study investigates the weather effects on UK stock market. Three weather variables of London are examined: sunshine hours, temperature and humidity level. FTSE100 index is chosen as the proxy of UK stock market. The period of the sample data is covered from January 1996 to December 2005. Both t...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25133/ |
| _version_ | 1848792926591647744 |
|---|---|
| author | Zhao, Juan |
| author_facet | Zhao, Juan |
| author_sort | Zhao, Juan |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study investigates the weather effects on UK stock market. Three weather variables of London are examined: sunshine hours, temperature and humidity level. FTSE100 index is chosen as the proxy of UK stock market. The period of the sample data is covered from January 1996 to December 2005. Both the weather effects on returns and volatility are studied with several methodologies. Empirical results show that extreme sunshine and temperature conditions and their interaction conditions have impacts on stock returns and volatility. This provides an evidence to support for behavioral finance against efficient market hypothesis (EMH) in that not all investors all fully rational and stock price may have other determinants other than its fundamental value. |
| first_indexed | 2025-11-14T18:52:10Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25133 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:52:10Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-251332022-03-21T14:05:04Z https://eprints.nottingham.ac.uk/25133/ Weather effects on returns: An empirical study of UK stock market Zhao, Juan This study investigates the weather effects on UK stock market. Three weather variables of London are examined: sunshine hours, temperature and humidity level. FTSE100 index is chosen as the proxy of UK stock market. The period of the sample data is covered from January 1996 to December 2005. Both the weather effects on returns and volatility are studied with several methodologies. Empirical results show that extreme sunshine and temperature conditions and their interaction conditions have impacts on stock returns and volatility. This provides an evidence to support for behavioral finance against efficient market hypothesis (EMH) in that not all investors all fully rational and stock price may have other determinants other than its fundamental value. 2011-09-22 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25133/1/final_DT.pdf Zhao, Juan (2011) Weather effects on returns: An empirical study of UK stock market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Zhao, Juan Weather effects on returns: An empirical study of UK stock market |
| title | Weather effects on returns: An empirical study of UK stock market |
| title_full | Weather effects on returns: An empirical study of UK stock market |
| title_fullStr | Weather effects on returns: An empirical study of UK stock market |
| title_full_unstemmed | Weather effects on returns: An empirical study of UK stock market |
| title_short | Weather effects on returns: An empirical study of UK stock market |
| title_sort | weather effects on returns: an empirical study of uk stock market |
| url | https://eprints.nottingham.ac.uk/25133/ |