Extreme heat and stock market activity

Peillex, Jonathan; Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil

doi:10.1016/j.ecolecon.2020.106810

Cited by 22 publications

(3 citation statements)

References 38 publications

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“…The behavioral paradigm, on the other hand, draws on the psychological literature dating back to the 1970s, which demonstrates that the weather affects human behavior 4. More importantly, for our purposes, investor sentiment―and thus financial markets―can be influenced by weather‐related factors such as sunshine and cloud coverage (Bassi et al., 2013; Hirshleifer & Shumway, 2003; Saunders, 1993), wind speed (Keef & Roush, 2002), humidity (Sariannidis et al., 2016), precipitation (Kaustia & Rantapuska, 2016) and air temperature (Bansal & Ochoa, 2011; Cao & Wei, 2005a; Floros, 2011; Keef & Roush, 2007; Peillex et al., 2021; Yan et al., 2022).…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Air temperature and sovereign bond returns

Kizys,

Rouatbi,

Umar

et al. 2024

Financial Market

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The relationship between air temperature and sovereign bond returns is founded on competing paradigms: macroeconomic, behavioral and energy demand‐based. Which of these theoretical mechanisms receives support from data? To answer this, we examined four decades of bond data from 31 countries. Overall, daily temperature positively affects government bond returns. A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points. We also document evidence of asymmetric and nonlinear price responses to both temperature levels and shocks. Our results survive a battery of robustness checks and lend support to the macroeconomic and behavioral paradigms, albeit not the energy demand‐based view.

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Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Air temperature and sovereign bond returns

Kizys,

Rouatbi,

Umar

et al. 2024

Financial Market

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“…Kathiravan and Chinnadurai [13] selected three influencing factors including temperature, humidity, and wind speed, and found that different factors recorded a statistically significant influence on the returns of different indices. It was Peillex, Jonathan, et al [14] who observed the negative association between maximum daily temperatures and trading volumes by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995-2019.…”

Section: Literature Reviewmentioning

confidence: 99%

Chemical Reaction Between Extreme Weather and Stock Market

Chen

2023

AEMPS

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Weather plays quite an important role in our daily life, so what interests us most is whether there is a certain relationship between extreme weather and the stock market. This paper takes the meteorological data of Shanghai Hongqiao from 2019 to 2021 and the trading volume of the Shanghai Stock Index within the same time as the research object and uses STATA data analysis software and sample linear regression analysis methods to study the weather factors mechanism of action on the stock market trading. Through the verification of regression analysis and the application of behavioral finance theory, we find that although extreme weather is extremely destructive to production and life, it does not have the expected negative effect on the stock market.

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“…In the same vein, Donadelli, Jüppner, Paradiso, and Schlag (2021) argue that temperature‐volatility shocks undermine equity valuations and produce non‐negligible welfare costs. Peillex et al (2021) show that extreme heat above 300°C depresses stock‐market activity and, thereby, market returns (Hou et al, 2019). In general, the results of these significant research efforts indicate that climate risk tends to reduce productivity and/or the stochastic depreciation rate of capital, and also affects investors' propensity to trade via its implications for distraction, mood, etc., to produce an adverse impact on macroeconomic variables and equity valuations 1 .…”

Section: Introductionmentioning

confidence: 99%

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

Salisu¹,

Pierdzioch²,

Gupta³

et al. 2022

Int Rev Finance

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We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, we measure stock-market tail risk by means of the popular Conditional Autoregressive Value at Risk (CAViaR) model.Our results show that accounting for the predictive value of the uncertainty associated with growth in temperature, as measured either by means of standard generalized autoregressive conditional heteroskedasticity (GARCH) models or a stochastic-volatility (SV) model, mainly is beneficial for a forecaster who suffers a sufficiently higher loss from an underestimation of tail risk than from a comparable overestimation.

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Extreme heat and stock market activity

Cited by 22 publications

References 38 publications

Air temperature and sovereign bond returns

Air temperature and sovereign bond returns

Chemical Reaction Between Extreme Weather and Stock Market

Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data

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