Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of Thailand

Khanthavit, Anya (2017) Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of Thailand. Asian Academy of Management Journal of Accounting and Finance, 13 (1). pp. 1-29. ISSN 1823-4992

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Abstract

The incorrect fxed-effect assumption, missing-data problem, omitted-variable problem, and errors-in-variables (EIV) problem are estimation problems that are generally found in studies on weather effects on asset returns. This study proposes an approach that can address these problems simultaneously. The approach is demonstrated by revisiting the effects on the Stock Exchange of Thailand. The sample shows daily data from 2 January 1991 to 30 December 2015. Artifcial Hausman instrumental-variable regressions successfully improve the quality of the analyses for ordinary least squares regressions when signifcant EIV problems are identifed and the regression results in a conflict. The study fnds signifcant air pressure and rainfall effects and empirically shows that the temperature effects reported by previous studies were induced by the fxed-effect assumption and are therefore incorrect.

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions:	Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal of Accounting and Finance
Depositing User:	Mr Firdaus Mohamad
Date Deposited:	16 Oct 2017 01:45
Last Modified:	16 Oct 2017 01:45
URI:	http://eprints.usm.my/id/eprint/37123

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