Stock market returns and the temperature effect:Thailand

Abstract

Songsak Sriboonchitta, Prasert Chitip,Thanes Sriwichailamphan, Chukiat Chaiboonsri

This research focus on investigation of the relationship between stock market returns and temperature. Research in behavioral finance shows that lower temperature can lead to aggression, while higher temperature can lead to both apathy and aggression. This research considers daily financial and temperature data of Thailand. Both a Autoregressive (AR(p))-Generalized Autoregressive Conditional Heteroscedasticity (GARCH (p,q). Based on AR(1)-GARCH(1,1) estimation found that a negative relationship between temperature and stock market returns for Thailand.

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