Causality of Weather Effects on Stock Returns and Volatility

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Anya Khanthavit


Causality tests for weather effects on stock market returns and volatility were conducted to ensure that the weather was in fact the cause. Based on the data for Thailand from 1992 to 2016 (6,091 daily observations), both Granger causality and directed acyclic graph causality tests revealed bi-directional relationships of the weather with returns and volatility. Despite the bi-directional relationships, the analyses led to the conclusion that there were weather-caused effects on returns and volatility.


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Research Articles
Author Biography

Anya Khanthavit, Faculty of Commerce and Accountancy, Thammasat University

Department ofvFinance, Distinguished Professor of Finance and Banking


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