Weather, investor psychology and stock returns : evidence from Fiji's stock market

Purpose: This paper investigates whether weather affects stock market returns in Fiji's stock market. Design/methodology/approach: The author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020. Findings: The results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji. Research limitations/implications: It is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables). Practical implications: Investors and traders should consider their mood while making stock market decisions to lessen mood-induced errors. Originality/value: This is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.