Studying the Impact of Weather Anomaly and Air Pollution on Return of Tehran Stock Exchange Index

Authors

University of Tehran, Iran

Abstract

 
One of the market anomalies which have been recently taken into consideration in financial literature is weather anomaly. In this study we attempted to determine the relationship between stock returns and weather variables such as temperature, cloud cover, wind speed and visibility in Tehran. Also regarding that Tehran often encounters critical air pollution, we hypothesized a relationship between stock returns and air pollution. We delineated three key implications. First, generally there is no evidence that weather variables or air pollution can affect the stock returns in Tehran. Second, using weather and air pollution variables can help GARCH modeling in conditional variance. Third, there is no evidence of asymmetry (leverage effect) in conditional variance model indicating that GJR-GARCH was incapable to explain the data more clearly

Keywords

References

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Financial Management Strategy
Volume 2, Issue 2 - Serial Number 5
September 2014
Pages 39-57

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History

  • Receive Date: 15 April 2015
  • Revise Date: 30 May 2018
  • Accept Date: 15 April 2015

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