This study empirically investigates weather effects on Korean stock index returns and market volatility based on the GJR-GARCH-X model. We focus on the issue about whether the weather effect is associated with financial deregulation and foreign investors’ transactions, which should not be affected by the weather conditions in Seoul City. To explore the weather effects by controlling for foreign investors’ trading, we employ daily stock index data and weather indicators (cloud cover, precipitation, sunshine hours, snow, and humidity) during the period from 1981 to 2016. Our empirical results suggest that there is little evidence for weather effects on KOSPI and stock returns by industry listed in the Korea Stock Exchange even if Korean financial market deregulations in 1997 increases foreign investors’ trading, but there is some evidence for weather effects on market volatilities.

这项研究基于GJR-GARCH-X模型以实证研究天气对韩国股指回报和市场波动的影响。我们关注的问题是天气影响是否与金融放松管制和外国投资者的交易有关，而这不受首尔市天气状况的影响。为了通过控制外国投资者的交易来探索天气影响，我们使用了1981年至2016年期间的每日股票指数数据和天气指标（云量，降水，日照时间，降雪和湿度）。几乎没有证据表明天气对KOSPI有影响 和在韩国证券交易所上市的行业的股票收益，即使1997年韩国金融市场放宽管制也增加了外国投资者的交易量，但有一些证据表明天气会对市场波动产生影响。