Weather and stock returns: the empirical evidence from agriculture and manufacturing industries in Malaysia / Dg Nur Syafiqah Pg Momin

For many years, the study of weathers and stock returns are well studied and documented by researchers. However, most of the studies are focusing on the stock market in general. This open up a gap to study further on the stock return of the specific industries such as agriculture and manufacturing. To be more specific, this study aims to investigate the relationship between weathers and stock return for manufacturing industries and agriculture industries. This study used panel data from 10 main market agriculture firms and top 10 manufacturing firms in Malaysia that listed in the main board of Bursa Malaysia. The study period is 5 years that is from 2014 to 2018. The dependent variable in this study is stock returns of manufacturing and agriculture industries, meanwhile the independent variables in the study are temperature, humidity and rainfall. The findings on the manufacturing industries indicate that there is a negative and insignificant relationship with all the independent variables (temperature, humidity and rainfall). On the other hand, agriculture industries show a significant relationship with rainfall variables and insignificant relationship with temperature and humidity variables. The study suggest that the findings are in line with both efficient market hypothesis theory and behavioural finance theory.