Stock return seasonality and the temperature effect

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dc.authorid0000-0001-9428-0426
dc.authorid0000-0001-9428-0426en_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.date.accessioned2019-08-31T12:10:23Z
dc.date.accessioned2019-08-05T16:05:00Z
dc.date.available2019-08-31T12:10:23Z
dc.date.available2019-08-05T16:05:00Z
dc.date.issued2009-12
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractMotivated by prior evidence that the relation between temperature and stock returns may be spurious, this study investigates the extent to which accounting for seasonality changes the explanatory power of temperature for stock index returns. Prior research using monthly data indicates that the portion of variability in stock returns that is explained by temperature can be explained equally well by any seasonal variable. Using daily stock market index and temperature data from 42 countries the effect of temperature on both the mean and variance of stock returns is analyzed through the use of GARCH modeling. The results show that a significant portion of the temperature effect is due to seasonal component of raw temperature. Furthermore, deseasonalized temperature has a moderate impact not only on the mean but also on the conditional variance of stock index returns. The results also indicate that the Halloween indicator, which is a seasonal dummy variable, has much less explanatory power using daily rather than monthly data. Its presence does not affect the explanatory power of deseasonalized temperature. Based on the findings, the paper concludes that although the relation between temperature and stock returns is not spurious, it is weaker than indicated by some earlier studies.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationYüksel, A. & Yüksel, S. A. (2009). Stock return seasonality and the temperature effect. International Research Journal of Finance and Economics, 34, 107-116.en_US
dc.identifier.endpage116
dc.identifier.issn1450-2887en_US
dc.identifier.scopus2-s2.0-72249091109en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.startpage107
dc.identifier.urihttps://hdl.handle.net/11729/1977
dc.identifier.volume34
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherEuroJournals Publishingen_US
dc.relation.ispartofInternational Research Journal of Finance and Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectSeasonalityen_US
dc.subjectStock market returnsen_US
dc.subjectTemperature effecten_US
dc.titleStock return seasonality and the temperature effecten_US
dc.typeArticleen_US
dspace.entity.typePublication

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