آب و هوا و اثرات خلق و خوی مرتبط با SAD در بازار مالی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|42264||2015||21 صفحه PDF||سفارش دهید||20350 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : The Quarterly Review of Economics and Finance, Volume 57, August 2015, Pages 11–31
We investigate the relationship between weather or seasonal affective disorder and the financial market, using a wide variety of financial market data as well as several weather variables and a seasonal affective disorder proxy. We distinguish between a model with a direct effect of the weather and seasonal affective disorder on the financial market and one with an indirect effect via a latent variable mood. Whereas only the latter model is justified by psychological literature, the former model is often used as an approximation. One major innovation of this paper is a consistent econometric implementation of the indirect effects model. We demonstrate that the approximation by direct effects yields inconsistent estimates. Our study supports some weather related, but no seasonal affective disorder related effects on the financial market. We show that, instead of focusing on single market segments, an analysis of various financial market segments is required. We also show that the analysis of individual stock returns or bond spreads reveals additional information, compared to the analysis of aggregate stock or bond indexes.