Weather, Investor Sentiment, and Stock Returns in the Stock Exchange of Thailand
Authors
Anya Khanthavit
Keywords:
Investor Sentiment, Model Misspecification, Noise Traders, Return Behavior, Weather Effects
Abstract
A well-specified and complete empirical model for weather effects, based on a rigorous noise-trader-risk theory, was developed. Using the daily data on the Stock Exchange of Thailand index portfolio and Bangkok weather variables from February 17, 1992 to December 30, 2016, significant effects of weather on both stock returns and volatility were found. Further investigation revealed that the effect on stock returns was temporary. Because weather effects were driven by sentiment, the significant effect suggested the important role of noise traders in price formation in the Stock Exchange of Thailand.