Hava Durumu Anomalisi: Panel Veri Analizi

Year 2021, Issue: 116, 143 - 154, 03.10.2021

Aysel Gündoğdu , Selin Sarılı

https://doi.org/10.33203/mfy.973698

Abstract

Finansal piyasalarda işlem yapan yatırımcıların her ne kadar rasyonel oldukları varsayılsa da her zaman bu koşulun geçerli olmadığı davranışsal finans teorisinde yer alan anomalilerle açıklanmaya çalışılmaktadır. Finansal piyasa anomalilerinden biri olan hava durumu anomalisi de, hava koşullarının bireylerin psikolojisi üzerinde ve dolayısı ile yatırım kararlarında etkili olduğunu öne sürmektedir. Çalışmada davranışsal finans teorisinde yer alan ‘hava durumu anomalisi’ nin test edilmesi amacıyla 6 ülkeye (Türkiye, İtalya, Amerika Birleşik Devletleri, Kanada, Çin, Rusya) ait hava durumu ve ülkelerin ana borsa endeksleriyle (Bist100, FTSE MIB, Dow Jones Industrial Average, S&P_TSX, Shanghai Composite, MOEX Russia) panel veri analizi yapılmıştır. Çalışmaya 04.01.2010 ile 31.07.2019 tarih aralığında günlük veriler dahil edilmiştir. Öncelikle panel birim kök testleriyle serilerin durağanlıkları araştırılmış, sonrasında ise panel eşbütünleşme testleri uygulanmıştır. Johansen eşbütünleşme testi sonucunda sadece Rusya ve Kanada için eşbütünleşme ilişkisi bulunmuştur.

Keywords

Hava durumu anomalisi, panel veri, eşbütünleşme

References

• Baltagi, Badi ve Kao, Chihwa 2000. “Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey”, Center for Policy Research Working Paper No:16.
• Banumathy, Karunanithy ve Azhagaiah, Ramachandran .2014. Long-Run and Short-Run Causality between Stock Price and Gold Price: Evidence of VECM Analysis from India, Management Studies and Economic Systems (MSES), 1 (4), 247-256, Spring 2015.
• Breitung, Jörg ve Pesaran, M. Hashem. 2008. Unit Roots and Cointegration in Panels. in The Econometrics of Panel Data, Springer, Heidelberg. Berlin, Germany.
• Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of Banking & Finance, 29(6), 1559-1573.
• Chang, T., Nieh, C. C., Yang, M. J., & Yang, T. Y. (2006). Are stock market returns related to the weather effects? Empirical evidence from Taiwan. Physica A: Statistical Mechanics and its Applications, 364, 343-354.
• Choi, In. 2001. "Unit Root Tests for Panel Data," Journal of International Money and Finance, 20: 249-272.
• Im, Kyung So, Pesaran, M. Hashem ve Shin, Yongcheol. 2003. “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, pp. 53–74.
• Cullen, M. M. (2003). Are Stock Prices Related to New York's Climatic Conditions?. Honors Theses. Paper 2119.
• Dowling, M., & Lucey, B. M. (2005). Weather, biorhythms, beliefs and stock returns—some preliminary Irish evidence. International Review of Financial Analysis, 14(3), 337-355.
• Goetzmann, W. N., & Zhu, N. (2005). Rain or shine: where is the weather effect?. European Financial Management, 11(5), 559-578.
• Gunasekara, A. L., & Jayasinghe, J. A. D. K. (2019). Does Weather Contribute to Stock Price Variation? A Cointegration Analysis. Kelaniya Journal of Management, C: 08, Sayı:02.
• Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
• Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle. American Economic Review, 93(1), 324-343.
• Kang, S. H., Jiang, Z., & Yoon, S. M. (2009). Weather effects on the returns and volatility of Hong Kong and Shenzhen stock markets. Korea Research Foundation.
• Kao, Chihwa. 1999. "Spurious Regression and Residual-Based Tests for Cointegration in Panel Data", Journal of Econometrics, Volıme:90, Issue:1, p.1-44.
• Kim, J. H. (2017). Stock returns and investors' mood: Good day sunshine or spurious correlation?. International Review of Financial Analysis, 52, 94-103.
• Levin, Andrew, Lin, Chien-Fu ve Chu, Chia-Shang J. 2002. “Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties”, Journal of Econometrics 108, 1-24.
• Loughran, T., & Schultz, P. (2004). Weather, stock returns, and the impact of localized trading behavior. Journal of Financial and Quantitative Analysis, 343-364.
• Pardo, A., & Valor, E. (2003). Spanish stock returns: where is the weather effect?. European Financial Management, 9(1), 117-126.
• Pedroni, Peter. 1999. “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”, Oxford Bulletin of Economics and Statistics, Special Issue, 662.
• Pedroni, Peter. 2000. “Fully-Modified OLS for Heterogeneous Cointegrated Panels”, Advances in Econometrics, 15, s.93-130.
• Pedroni, Peter. 2001. “Purchasingpowerparitytests in cointegratedpanels”, Review of Economics and Statistics, 83, s.727-731.
• Sariannidis, N., Giannarakis, G., & Partalidou, X. (2016). The effect of weather on the European stock market. International Journal of Social Economics.
• Saunders, E. M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
• Symeonidis, L., Daskalakis, G., & Markellos, R. N. (2010). Does the weather affect stock market volatility?. Finance Research Letters, 7(4), 214-223.
• Trombley, M. A. (1997). Stock prices and Wall Street weather: Additional evidence. Quarterly Journal of Business and Economics, 11-21.
• Tufan, E., & Hamarat, B. (2004). Do cloudy days affect stock exchange returns: Evidence from Istanbul stock exchange. Journal of Naval Science and Engineering, 2(1), 117-126.
• Zeren, F., & Gumus, F. B. (2015). Testing Weather Effect Anomalies: Time Varying Evidence from Selected Stock Markets. International Journal of Economic Perspectives, 9(1).
• Wang, Y. H., Shih, K. H., & Jang, J. W. (2018). Relationship among weather effects, investors' moods and stock market risk: An analysis of bull and bear markets in Taiwan, Japan and Hong Kong. Panoeconomicus, 65(2), 239-253.