BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Brahmana Rayenda (Universiti Malaysia Sarawak, Malaysia), Hooy Chee Wooi (Universiti Sains, Malaysia)
The Role of Weather on Investors' Monday Irrationality: Insights from Malaysia
Contemporary Economics, 2014, vol. 8, nr 2, s. 175-190, tab.,wykr., bibliogr. 46 poz.
Słowa kluczowe
Inwestowanie, Psychologia biznesu, Analiza empiryczna, Studium przypadku, Inwestor giełdowy
Investing, Business psychology, Empirical analysis, Case study, Stock exchange investor
Evidence supporting the weekend effect, also known as Monday Irrationality, has shown that conventional finance is unable to follow a rational behavior assumption. Many scholars have proposed a behavioral approach to explain this phenomenon; however, few studies have investigated this effect empirically. Interestingly, literature on weather patterns and the preliminary results of our study have identified a particular weather cycle that occurs on Mondays, when the temperature in Malaysia is higher compared with other days. Therefore, this paper aims to investigate the role of weather on investors' Monday irrationality. By analyzing the market index and size-based portfolio formation model from 1999 to 2010, this research study found that the weather influenced investors' mood, causing anomalous conditions in the market. Our findings conclude that the mood of investors plays an important role on investment decisions and the resulting Monday irrationality of investors. (original abstract)
Pełny tekst
  1. Abraham, A., & Ikenberry, D. L. (1994). The Individual Investor and the Weekend Effect. The Journal of Financial and Quantitative Analysis, 29 (2), 263 -277.
  2. Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. Journal of Economic Perspectives, 21 (2), 129-152.
  3. Basu, R., & Samet, J. M. 2002. Relation between Elevated Ambient Temperature and Mortality: A Review of the Epidemiologic Evidence. Epidemiologic Reviews, 24 (2), 190-202.
  4. Bell, P. A., Greene, T. C., Fisher, J. D., & Baum, A. (2001). Environmental psychology (5th ed.). Fort Worth, TX: Harcourt College Publishers.
  5. Blume, M. E., & Stambaugh, R. F. (1983). Biases in computed returns: An application to the size effect. Journal of Financial Economics, 12 (3), 387-404.
  6. Brahmana, R., Hooy, C. W., & Ahmad, Z. (2012a). Psychological Factors on Irrational Financial Decision Making: Case of Day-of-the Week Anomaly. Humanomics: The International Journal of Systems and Ethics, 28 (4), 236-257.
  7. Brahmana, R., Hooy, C. W., & Ahmad, Z. (2012b). Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia. Journal of Bioeconomics, 14 (2), 129-146.
  8. Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of Banking & Fi-nance, 29 (12), 1559-1573.
  9. Chin, S. K., & Abdullah, N. A. H. (2013). Announcement Effect of Corporate Bond Issuance and Its Determinants. Contemporary Economics, 7 (1), 5-18.
  10. Dichev, I. D., & Janes, T. D. (2003). Lunar cycle effects in stock returns - Some preliminary Irish evidence. Journal of Private Equity, 6 (4), 8 -29.
  11. Dowling, M. M., & Lucey, B. M. (2005). Weather, Biorhytms, Beliefs, and Stock Returns. International Review of Financial Analysis, 14 (3), 337-355.
  12. Ellis, A. (1958). Rational psychotherapy. Journal of General Psychology, 59, 35-49. New York, NY: Institute for Rational-Emotive Therapy (Original work published ROK).
  13. Fama, E. F., & French, K. R. (1995). Size and Book-to- Market Factors in Earnings and Returns. Journal of Finance, 50 (1), 131-155.
  14. Forgas, J. P. (1995). Mood and Judgment: The Affect Intrusion Model (AIM). Psychological Bulletin, 117 (1), 39-66.
  15. Forster, P. M. F., & Solomon, S. (2003). Observations of a "Weekend Effect" in Diurnal Temperature Range. Proceedings of the National Academy of Sciences of the United States of America, 100 (20), 11225-11230.
  16. French, K.R. (1980). Stock Returns and The Weekend Effect. Journal of Financial Economics, 8 (1), 55-69.
  17. Goetzmann, W. N., & Zhu, N. (2005). Rain or Shine: Where is the Weather Effect? European Financial Management, 11 (5), 559-578.
  18. Hansen, A., Bi, P., Nitschke, M., Ryan., P., Pisaniello, D., & Tucker, G. (2008). The Effect of Heat Waves on Mental Health in a Temperate Australian City. Environmental Health Perspective, 116 (10), 1369-1375.
  19. Hechter, M., & Kanazawa, S. (1997). Sociological rational choice theory. Annual Review of Sociology, 23, 191 214.
  20. Hirshleifer, D., & Shumway, T. (2003). Good Day Sunshine: Stock Returns and the Weather. The Journal of Finance, 58 (3), 1009-1032.
  21. Howarth, E., & Hoffman, M. S. (1984). A Multidimensional Approach to the Relationship between Mood and Weather. British Journal of Psychology, 75 (1), 15-23.
  22. Isen, A., Shalker, T. E., Clark, M., & Karp, L. (1978). Affect, accessibility of material in memory and behavior: A cognitive loop? Journal of Personality and Social Psychology, 36 (1), 1-12.
  23. Jaffe, J., & Westerfield, R. (1985) The Week-End Effect in Common Stock Returns: The International Evi-dence. The Journal of Finance, 40 (2), 433-454.
  24. Jain, S., Kaliaperumal, V. G., Chatterji, S., Rao, S., & Murthy, R. S. (1992). Climate and admissions for mania in the tropics. Journal of affective disorders, 26 (4), 247-250.
  25. Kahneman, D., & Tversky. A. (1979). Prospect theory: an analysis of decision under risk. Econometrica, 47 (2), 263-291.
  26. Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2000). Winter blues: Seasonal Affective Disorder (SAD), the January effect, and stock market returns (Working Paper Economics No. 872). Faculty of Commerce, University of British Columbia.
  27. Kok, K. L., & Wong, Y. C. (2004). Seasonal anomalies of stocks in ASEAN equity markets. Sunway College Journal, 1, 1-11.
  28. Kovats, R. S & Kristie, L. E. (2006). Heatwaves and Public Health in Europe. The European Journal of Public Health, 16 (6), 592-599.
  29. Krämer, W., & Runde, R. (1997). Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?. Empirical Economics, 22, 637-641.
  30. Kudryavtsev, A., Cohen, G., & Hon-Snir, S. (2013). Rational or Intuitive: Are Behavioral Biases Correlated Across Stock Market Investors? Contemporary Economics, 7 (2), 33-53.
  31. Lee, H. C., Tsai, S. Y., & Lin, H. C. (2007). Seasonal variations in bipolar disorder admissions and the association with climate: a population-based study. Journal of affective disorders, 97 (1), 61-69.
  32. Lim, S. Y., & Chia, R. C. J. (2010). Stock market calendar anomalies: Evidence from ASEAN-5 stock markets. Economics Bulletin, 30 (2), 996-1005.
  33. McAndrew, F. T. (1993). Environmental Psychology. Pacific Grove, CA: Brooks/Cole.
  34. Meneu, V., & Pardo, A. (2004). Pre-holiday effect, large trades and small investor behaviour. Journal of Empirical Finance, 11 (2), 231-246.
  35. Nurunnabi, M. (2012). Testing weak-form efficiency of emerging economies: a critical review of literature. Journal of Business, Economics and Management, 13 (1) 167-188.
  36. Pakiam, J. E., & Lim, J. (1984). Crime and weather in Singapore. International Journal of Comparative and Applied Criminal Justice, 8 (1-2), 209-220.
  37. Palomino, F. (1996). Noise trading in small markets. The Journal of Finance, 51 (4), 1537-1550.
  38. Pardo, Angel, & Valor, E. (2003). Spanish Stock Returns: Where is the Weather Effect? European Financial Management, 9 (1), 117-126.
  39. Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics, 12 (1), 89-104.
  40. Ritter, J. R. (1988). The buying and selling behavior of individual investors at the turn of the year. The Journal of Finance, 43 (3), 701-717.
  41. Saunders, E. M. (1993). Stock Prices and Wall Street Weather. The American Economic Review, 83 (5), 1337-1345.
  42. Schwarz, N., & Clore, G. L. (1983). Mood, Misattribution, and Judgment of Well-being: Informative and Directive Function of Affective States. Journal of Personality and Social Psychology, 45 (3), 513-523.
  43. Tufan, E., & Hamarat, B. (2004). Do Cloudy Days Affect Stock Exchange Returns: Evidence from Istanbul Stock Exchange. Journal of Naval Science and Engineering, 2 (1), 117-126.
  44. Tvede, L. (2002). The Psychology of Finance: Understanding the Behavioral Dynamics of Markets. Revised Edition. New York, NY: John Wiley and Sons.
  45. Van de Vliert, E., Schwartz, S. H., Huismans, S. E., Hofstede, G., & Daan, S. (1999). Temperature, Cultural Masculinity, and Domestic Political Violence A Cross-National Study. Journal of Cross-Cultural Psychology, 30 (3), 291-314.
  46. Yahyazadehfar, M., Abounoori, E., & Shababi, H. (2006). Days-of-Week Effect on Tehran Stock Exchange Returns: An Empirical Analysis. Iranian Economic Review, 11 (2), 149-164.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu