Weather Effect on Amsterdam Stock Exchange

ERLIN PARAMITA, Jan Lemmen

2014 | Skripsi | AKUNTANSI

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This thesis tries to investigate the relationship between weather variables in the Netherlands and stock returns of AEX-Index from 1983-2012. Deseasonalizing of weather variables is conducted in order to reduce the tendency of seasonality effect. In general, it can be concluded that there is no existing relationship between cloud cover, humidity, precipitation, temperature, and wind on stock returns. However, additional research found significant effects: humidity on retailer REITs, cloud cover and humidity on soft drink and fixed line telecommunications sector, wind on food retailers and wholesalers sector, and precipitation and temperature on oil equipment and services sector. Further research can use intraday return that will cover the effect of weather changes in more detail. Also by considering the location of the investors who do the trading, it might give more precise result. Key words: Mood, Weather, Stock returns, Amsterdam stock exchange

Kata Kunci : Mood, Weather, Stock returns, Amsterdam stock exchange