Weather Effects on Stock Returns and Volatility in South Asian Markets

Sheikh, Muhammad Fayyaz; Shah, Syed Zulfiqar Ali; Mahmood, Shahıd

doi:10.1007/s10690-017-9225-2

Cited by 13 publications

(8 citation statements)

References 40 publications

(22 reference statements)

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“…Fourth, La Porta et al (2000) suggest that resources may be diverted before earnings are reported, resulting in an overestimated dividend to earnings ratio. Finally, the intense volatile nature of stock markets in Asian countries particularly in Pakistan (Sheikh et al , 2017) may increase the possibility of unstable dividend to market capitalization ratio. Thus, to avoid any potential difficulties, we scale dividends by total assets.…”

Section: Methodsmentioning

confidence: 99%

Corporate social responsibility and dividend policy: a strategic choice in family firms

Sheikh

Bhutta

Rehman

et al. 2021

JFBM

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PurposeThe purpose of this study is to examine whether corporate social responsibility (CSR) affects dividend policy (the propensity to pay dividends as well as the dividend payout ratio) and what role family ownership plays in this regard in an emerging market.Design/methodology/approachThe study uses a sample of 1,480 observations from Pakistan for the period 2010–2016 and accounts for Hackman self-selection bias and endogeneity issues using a robust regression analysis. CSR activity is measured by CSR score developed through a content analysis of firms' annual reports.FindingsThe study finds that the greater number of CSR activities increases the propensity to pay dividends, but reduces the dividend payout in dividend-paying firms. On the other hand, in family firms, the greater number CSR activities decreases the propensity to pay dividends, but increases the dividend payout in dividend-paying firms. The findings hold for a series of robustness and sensitivity checks, for example, alternative measures, specifications and estimators.Practical implicationsA trade-off between firms' CSR activities and dividend policy needs to be the point of concern for investors, minority shareholders and policy makers. The role of the non-executive and independent directors becomes more important, especially in the family firms where family members sitting on the boards may drive CSR activities in their own interests opportunistically. The potential opportunistic behaviour of family members warrants the need for policy reform initiatives to strengthen the protection of other stakeholders' interests.Originality/valueThe study highlights that family owners' efforts to preserve their socio-emotional wealth in family firms affect the relationship between CSR activities and dividend policy. Further, the relationship between CSR and dividend policy in emerging markets is different from developed markets. This study simultaneously focuses on both the propensity to pay dividends and the amount of dividend payment and documents that the implications of CSR are different for them.

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Section: Methodsmentioning

confidence: 99%

Corporate social responsibility and dividend policy: a strategic choice in family firms

Sheikh

Bhutta

Rehman

et al. 2021

JFBM

Self Cite

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“…Having scrutinized data from several major equity markets (Australia, Canada, Germany, Japan, Sweden, Taiwan, UK and the United States), Cao and Wei (2005a) find evidence that supports their theoretical conjectures: when the temperature is high (low), apathy dominates aggression (aggression dominates apathy); this, in turn, impedes (increases) risk-taking and results in lower (higher) stock returns. Other studies demonstrate a similar pattern within numerous developed and emerging stock markets around the world (Cao & Wei, 2005b;Chang et al, 2006;He & Ma, 2021;Hou et al, 2019;Sheikh et al, 2017;Yoon & Kang, 2009). Although several controversies emerged with concerns about the behavioral mechanism behind this phenomenon (see, e.g., Jacobsen & Marquering, 2008Kamstra et al, 2009), the overall conclusion appears unequivocal: A higher temperature coincides with lower stock returns (and vice versa).…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 72%

Air temperature and sovereign bond returns

Kizys,

Rouatbi,

Umar

et al. 2024

Financial Market

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The relationship between air temperature and sovereign bond returns is founded on competing paradigms: macroeconomic, behavioral and energy demand‐based. Which of these theoretical mechanisms receives support from data? To answer this, we examined four decades of bond data from 31 countries. Overall, daily temperature positively affects government bond returns. A 10°F rise leads to an increase in sovereign bond returns between 0.22 and 0.85 basis points. We also document evidence of asymmetric and nonlinear price responses to both temperature levels and shocks. Our results survive a battery of robustness checks and lend support to the macroeconomic and behavioral paradigms, albeit not the energy demand‐based view.

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“…The literature has documented few latest investigations which takes evidence from Sri Lanka. Sheikh et al (2017) examined the effect of six weather mood-proxy variables (temperature, humidity, cloud cover, air pressure, visibility and wind speed), three weather indicators (fog, thunder storm and rain or drizzle) and two biorhythmic variables on index return volatility in six South Asian markets in four countries, namely, Sri Lanka, India, Pakistan and Bangladesh. The findings of the study suggested that mood-proxy variables have influences in South Asian capital markets.…”

Section: Weather and Equity Returnsmentioning

confidence: 99%

Does Weather Contribute to Stock Price Variation? A Cointegration Analysis

Gunasekara

Jayasinghe

2020

Kelaniya J Manage

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The objectives of this study are to investigate whether there is a long term relationship between stock returns and weather factors and to examine whether the weather factors have an outperforming effect over macroeconomic variables when explaining the stock price variation. This study is motivated by the emergence of behavioral branch of asset pricing which pays attention towards the irrationality of investors who are influenced by the mood and the sentiment. This study investigates this phenomenon taking evidence from an emerging market, Colombo Stock Exchange. The study uses Johansen Cointegration Test with VAR-Vector Error Correction Estimates and Variance Decomposition. The results confirm that weather factors are related with the stock prices in the long run and reveal that temperature has an outperforming contribution to the stock price variation whiles supporting the Temperature Anomaly which is widely tested in this background.

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Weather Effects on Stock Returns and Volatility in South Asian Markets

Abstract: We study the effect of mood-proxy variables on index returns and volatility in six South Asian markets. Our mood-proxy variables include six weather (temperature, humidity, cloud cover, air pressure, visibility, and wind speed)

Cited by 13 publications

References 40 publications

Corporate social responsibility and dividend policy: a strategic choice in family firms

Corporate social responsibility and dividend policy: a strategic choice in family firms

Air temperature and sovereign bond returns

Does Weather Contribute to Stock Price Variation? A Cointegration Analysis

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