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

Vijayakumar, N.; Dharani, M.; Muruganandan, S

doi:10.21863/ijfm/2015.5.2.010

Cited by 2 publications

(3 citation statements)

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“…Whereas, Shenzhen and Taiwan stock index returns were significantly impacted by the weather variables. This result shows that there was a mixed effect of weather on the stock market Vijayakumar et al (2015) tried to figure out how weather factors in Chennai, Mumbai, Delhi, and Kolkata impacted on stock market returns and volatility of NSE S&P CNX NIFTY. The study concluded that Mumbai's temperature had an influence on stock market return as per the mean equation.…”

Section: Literature Reviewmentioning

confidence: 99%

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Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Mr.,

Dr.

2023

IJEBA

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Purpose:The proposed study is an attempt to determine whether a relationship exists between rainfall index and NSE Nifty index. Design/Methodology/Approach: The study used the monthly mean rainfall data and monthly closing price of Nifty index. The study applied Augmented Dickey-Fuller (ADF) test, correlation analysis, the GARCH (1,1) model, and the Granger Causality test to analyse the interrelationship. Findings: The results of correlation matrix show that there is no interrelationship between the two variables. The GARCH (1,1) model found that the NSE Nifty index is not affected by the rainfall index and Granger Causality test displays that rainfall index does not Granger Cause the Nifty index. Practical implications: As a result, this rainfall index is potentially a distinct and unique asset worth considering portfolio investment strategy. Further studies can be conducted to know the interrelationship between the rainfall index and the other stock indices or any other financial indices.Originality value: According to the authors' knowledge, this is the first empirical study to determine the interrelationship between the rainfall index and the Nifty Index over a longer period of time.

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Section: Literature Reviewmentioning

confidence: 99%

“…Because these weather factors affect investors' moods and contribute to the risktaking ability of investors. Investors' investment decisions were influenced by the weather conditions in India, but this is not yet strongly proven empirically Vijayakumar et al (2015).…”

Section: Introductionmentioning

confidence: 99%

Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Mr.,

Dr.

2023

IJEBA

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“…Based on the objectives and hypotheses of the research, the empirical data is evaluated. The tools used in this study are based on past literature:Bhanumurthy et al, (2013); Abdul et al, (2015);Vijayakumar et al, (2015); Syed et al…”

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confidence: 99%

Relationship between the Rainfall Index and Stock/Agri-commodity Market Indices: Empirical Evidence from India

Dileep,

Kotreshwar

2024

SDMIMD

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The rainfall, stock, and agri-commodity indices are the economic indicators for Indian economy. Therefore, research is needed to explore the complex relationship between rainfall and economic indicators and its longterm implications. Only a few studies are available on this relationship, and no study gives complete, conclusive evidence on this relationship. Therefore, the present study focused on determining whether there is any relationship between the rainfall index and stock/agri-commodity indices. This study employed the advanced statistical tools like ADF test, correlation, Granger causality test, and GARCH (1,1) model. The research utilized the monthly average rainfall index and the Sensex index from 1991 to 2020. Similarly, the study employed the monthly average Guarex agri-commodity index for the period from 2018 to 2020. The study found that there is no relationship and causality relationship between the rainfall index and the Sensex index. The GARCH (1,1) model shows that the rainfall index has no impact on the volatility of the Sensex index. There is a moderately negative correlation between the rainfall index and the Guarex index, and rainfall affects the volatility of the Guarex index. This shows that the rainfall index can be a distinct asset class that can be traded through rainfall derivatives. In order to launch rainfall derivatives in India, NCDEX and Skeymet Industries have already approached the SEBI for permission.

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

Cited by 2 publications

References 0 publications

Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Interrelationship between Rainfall Index and Nifty Index: An Empirical Study

Relationship between the Rainfall Index and Stock/Agri-commodity Market Indices: Empirical Evidence from India

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