Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of Thailand
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 simultaneous...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM)
2017
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| Online Access: | http://eprints.usm.my/37123/1/aamjaf13012017_4.pdf |
| _version_ | 1825833599416401920 |
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| author | Khanthavit, Anya |
| author_facet | Khanthavit, Anya |
| author_sort | Khanthavit, Anya |
| collection | USM |
| description | 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. |
| first_indexed | 2024-03-06T15:10:14Z |
| format | Article |
| id | usm.eprints-37123 |
| institution | Universiti Sains Malaysia |
| language | English |
| last_indexed | 2024-03-06T15:10:14Z |
| publishDate | 2017 |
| publisher | Asian Academy of Management (AAM) |
| record_format | dspace |
| spelling | usm.eprints-371232017-10-16T01:45:24Z http://eprints.usm.my/37123/ Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of Thailand Khanthavit, Anya HD28-70 Management. Industrial Management 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. Asian Academy of Management (AAM) 2017 Article PeerReviewed application/pdf en http://eprints.usm.my/37123/1/aamjaf13012017_4.pdf 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 http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_4.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Khanthavit, Anya Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of Thailand |
| title | Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of
Thailand |
| title_full | Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of
Thailand |
| title_fullStr | Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of
Thailand |
| title_full_unstemmed | Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of
Thailand |
| title_short | Instrumental-Variable Estimation Of Bangkokweather Effects In The Stock Exchange Of
Thailand |
| title_sort | instrumental variable estimation of bangkokweather effects in the stock exchange of thailand |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/37123/1/aamjaf13012017_4.pdf |
| work_keys_str_mv | AT khanthavitanya instrumentalvariableestimationofbangkokweathereffectsinthestockexchangeofthailand |