Weather effect to the stock return and volatility in indonesian stock market
| Main Authors: | Gabriela, Michele, Kim, Sung Suk |
|---|---|
| Format: | Article PeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
Fakultas Ekonomi Universitas Pelita Harapan
, 2011
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| Subjects: | |
| Online Access: |
http://repository.uph.edu/4496/1/3.4%20Derema-September%202011-Weather%20effect%20to%20the%20stock%20return%20and%20volatility%20in%20indonesian%20stock%20market.pdf http://repository.uph.edu/4496/2/Peer%20Review-3.4%20Weather%20Effect%20to%20the%20Stock%20Return%20and%20Volatility%20in%20Indonesia%20Stock%20Market.pdf http://repository.uph.edu/4496/3/Pernyataan%20Kesediaan%20Publikasi-Weather%20Effect%20to%20the%20Stock%20Return%20and%20Volatility%20in%20Indonesian%20Stock%20Market.pdf http://repository.uph.edu/4496/ |
Daftar Isi:
- This research is to determine the effect of weather which are rain, temperature, sunshine, and pancarobamonths of changing seasons toward stock return and its volatility. The data used is daily price of stocks in LQ45 index listed in Indonesia Stock Exchange (IDX) from year 2003 until 2009 and the daily weather data in the same period at Jakarta, taken fom BMKG (Badan Meteorologi, Klimatologi, dan Geofisika) or (Meteorology, Climatology, and Geophysics Administration) Indonesia. The research method uses AR(p)-GARCH(I. I) to capture volatility. The results show that overall weather has more effect on the stock volatility compared to the stock return. Rain has negative effect toward volatiliry. High sunshine contributes negative effects on both stock return and volatility. However, high temperature leads to positive volatility. For industrial based group, the weather does not significantly affect stock relllrn but do affect the volatility. Some industries exposed to the weather are trade, service, and investment induslly, infrastructure, utility, and transportation industry, and various industries. This research contributes on weather as one of indicators for those who will invest in the stock market.