Weather and stock market volatility: the case of a leading emerging market

Hyein Shim; Hyeyoen Kim; Junyeup Kim; Doojin Ryu

doi:10.1080/13504851.2014.993129

Weather and stock market volatility: the case of a leading emerging market

Hyein Shim
, Hyeyoen Kim
, Junyeup Kim
, Doojin Ryu

Department of Economics

Research output: Contribution to journal › Article › peer-review

35 Scopus citations

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.

Original language	English
Pages (from-to)	987-992
Number of pages	6
Journal	Applied Economics Letters
Volume	22
Issue number	12
DOIs	https://doi.org/10.1080/13504851.2014.993129
State	Published - 13 Aug 2015

Keywords

VKOSPI
volatility
weather effect

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10.1080/13504851.2014.993129

Cite this

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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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Weather and stock market volatility: the case of a leading emerging market

Abstract

Keywords

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