Disappearing Weather Effects: Evidence from Thailand (2011 – 2016)
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Abstract
As the efficiency of the market improves, it is possible that weather effects cannot be detected by traditional, daily return tests. The effects may not exist at all, or they appear briefly but are traded against and disappear within the day. This study more closely examined weather effects, using intraday returns for the Thai stock market from 2011 to 2016, to identify the true cause of the disappearing effects in daily returns. It found no effects for the morning or afternoon trading sessions. Nor did it find any effects for the first and second fifteen minutes of the two sessions. The weather effects completely disappeared from the Thai stock market in recent years.
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