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If the market is not efficient, bond returns can be set by weather-sensitive investors, thereby establishing a significant relationship between weather and investment returns. This study is the first study to test for the weather effects in the Thai government-bond market. Using a bond-return sample from July 2, 2001 to December 2015, applying full-period and sub-period tests, together, suggest that weather effects, especially temperature, exist in the Thai bond market. The effects do not weaken or disappear over time. They are, however, significant in some but not in the other sub-periods, and for some but not all the bonds. These findings are consistent with the explanation that the weather-sensitive investors participate in the inefficient bond market only in some periods and they prefer certain bonds over the others.
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