International Journal of Financial Management

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Impact of Weather on Return and Volatility:Evidence from Indian Stock Market


Affiliations
1 PSG Institute of Management (Autonomous), Coimbatore, Tamilnadu, India
2 Department of Finance, ICFAI Business School, ICFAI University Hyderabad, Telangana, India
3 PG studies and Research Department of Commerce, SDM College, Ujire- 574240, Mangalore, Karnataka, India
     

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This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January 2008 to December 2013. This study applies GARCH (1, 1) model and find that the stock returns are influenced by temperature in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata.

Keywords

Weather Effect, Volatility, ARCH, GARCH and Stock Market.
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  • Impact of Weather on Return and Volatility:Evidence from Indian Stock Market

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Authors

N. Vijayakumar
PSG Institute of Management (Autonomous), Coimbatore, Tamilnadu, India
M. Dharani
Department of Finance, ICFAI Business School, ICFAI University Hyderabad, Telangana, India
S. Muruganandan
PG studies and Research Department of Commerce, SDM College, Ujire- 574240, Mangalore, Karnataka, India

Abstract


This study examines the impact of Weather factors on return and volatility of the Indian stock market. The study uses the daily data of top four metros and tests its impact on the return and volatility of S&P CNX Nifty index from January 2008 to December 2013. This study applies GARCH (1, 1) model and find that the stock returns are influenced by temperature in Chennai and the stock return volatility influenced by the temperature in Mumbai, Delhi and Kolkata.

Keywords


Weather Effect, Volatility, ARCH, GARCH and Stock Market.