The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange

Abstract

Recent researches on behavioral finance have tested for, among others, evidence for the relations between weather, investors’ mood, and investment decisions. Many of the researches related to the influence of some weather factors, such as sunshine duration on stock exchange returns, but there is no complex research taking into account a wide group of weather factors determining investors’ mood. The main goal of the article is to verify the influence of weather factors on basic market parameters of energy sector companies quoted on the Warsaw Stock Exchange. Rates of return, trading volumes, and values of trading volume are taken into account during the research. All analyses are based on econometric models assuming the existence of typical problems of estimation such as: autocorrelation of residuals, heteroskedasticity, or abnormality of residuals. The best approximation of models was obtained for GARCH (Generalized Autoregressive Conditional Heteroskedasticity) type models.