903
Views
29
CrossRef citations to date
0
Altmetric
Original Articles

Stock market returns and the temperature effect: new evidence from Europe

Pages 461-467 | Published online: 17 Oct 2008

References

  • Bollerslev , T. 1986 . Generalised autoregressive conditional heteroscedasticty . Journal of Econometrics , 33 : 307 – 27 .
  • Bollerslev , T. and Wooldridge , J. M. 1992 . Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances . Econometric Reviews , 11 : 143 – 72 .
  • Cao, M. and Wei, J. (2002) Stock market returns: a temperature anomaly, Working Paper, Schulich School of Business, York University, Canada
  • Cao , M. and Wei , J. 2005 . Stock market returns: a note on temperature anomaly . Journal of Banking and Finance , 29 : 1559 – 73 .
  • Enders , W. 1995 . Applied Econometric Time Series , New York : John Wiley & Sons .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Engle , R. F. and Ng , V. 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 78 .
  • Goetzmann, W. N. and Zhu, N. (2003) Rain or shine: where is the weather effect, National Bureau of Economic Research (NBER) Working Paper 9465
  • Hirshleifer , D. and Shumway , T. 2003 . Good day sunshine: stock returns and the weather . Journal of Finance , 58 : 1009 – 32 .
  • Kamstra , M. J. , Kramer , L. A. and Levi , M. D. 2003 . Winter blues: a SAD stock market cycle . American Economic Review , 93 : 324 – 33 .
  • Keef , S. P. and Roush , M. L. 2002 . The weather and stock returns in New Zealand . Quarterly Journal of Business and Economics , 41 : 61 – 79 .
  • Keef , S. P. and Roush , M. L. 2005 . Stock prices and Wall Street weather: revisited . Eurasian Review of Economics and Finance , 1 : 31 – 44 .
  • Loewenstein , G. F. , Elke , U. W. , Christopher , K. H. and Welch , N. 2001 . Risk as feelings . Psychological Bulletin , 127 : 267 – 86 .
  • Loughran , T. and Schultz , P. 2004 . Weather, stock returns, and the impact of localized trading behaviour . Journal of Financial and Quantitative Analysis , 39 : 343 – 64 .
  • Pardo , A. and Valor , E. 2003 . Spanish stock returns: where is the weather effect? . European Financial Management , 9 : 117 – 26 .
  • Saunders , E. M. J. 1993 . Stock prices and wall street weather . American Economic Review , 83 : 1337 – 45 .
  • Schwartz , N. 1990 . “ Feelings as information: information and motivational functions of affective states ” . In Handbook of Motivation and Cognition , Edited by: Higgins , E. T. and Sorrentino , R. M. Vol. 2 , 527 – 61 . New York : Guildford Press .
  • Schwartz , N. and Clore , G. L. 1983 . Mood, misattribution, and judgements of well-being: informative and directive functions of affective states . Journal of Personality and Social Psychology , 45 : 513 – 23 .
  • Watson , D. 2000 . “ Situational and environmental influence on mood ” . In Mood and Temperament, Chapter 3 , 62 – 103 . New York : Guilford Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.