Weather-Driven Stock-Return Correlations

The coordinated trading of weather-sensitive investment drives stock returns and links the return correlations with weather variables. This study tested whether the correlations in the Stock Exchange of Thailand can be explained by Bangkok’s weather variables. Using daily data from September 3, 2002, to December 29, 2017, it was found that the correlation of the returns on the Stock Exchange of Thailand 50 and the Market for Alternative Investment index portfolios has a significant relationship with Bangkok’s weather. The significant variables are a subset of those variables that drive return volatility