The Weather and Changes in New Zealand’s Trade-Weighted Foreign Exchange Rate Index

Finance Letters, Vol. 2, No. 4, pp. 9-13, 2004

Posted: 16 Dec 2009

See all articles by Melvin Roush

Melvin Roush

Pittsburg State University; Victoria University of Wellington - School of Accounting and Commercial Law

Stephen P. Keef

Victoria University of Wellington - School of Accounting and Commercial Law

Abstract

This study extends the literature relating to the influence of weather on security returns by examining the influence of four facets of the local weather on the change in New Zealand’s Trade-Weighted Foreign Exchange Rate Index (TWI). The TWI is not influenced by the level of wind in the two major financial centres. There is weak evidence that temperature has a positive effect on the TWI. A factor capturing day-to-day changes in sunshine exhibits a significant positive influence on the TWI. This is a direct analogue of the cloud cover effect on stock returns reported by others.

Keywords: Weather, Security returns, TWI

JEL Classification: F31, G14, G30

Suggested Citation

Roush, Melvin and Keef, Stephen, The Weather and Changes in New Zealand’s Trade-Weighted Foreign Exchange Rate Index. Finance Letters, Vol. 2, No. 4, pp. 9-13, 2004, Available at SSRN: https://ssrn.com/abstract=1522957

Melvin Roush

Pittsburg State University ( email )

1701 S. Broadway
Pittsburg, KS 66762
United States

Victoria University of Wellington - School of Accounting and Commercial Law ( email )

Faculty of Commerce and Administration
PO Box 600
Wellington
New Zealand
64 4 471 5365 (Phone)
64 4 495 5076 (Fax)

Stephen Keef (Contact Author)

Victoria University of Wellington - School of Accounting and Commercial Law ( email )

Faculty of Commerce and Administration
PO Box 600
Wellington
New Zealand

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