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Old Dominion University

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Essays On The El Niño Anomaly And Stock Return Predictability, Zhijun Yang Oct 2017

Essays On The El Niño Anomaly And Stock Return Predictability, Zhijun Yang

Finance Theses & Dissertations

This dissertation is to examine the impact of the El Niño phenomenon on the international stock market, both at the aggregate level and the portfolio level.

In first essay, I study the predictive relation between the El Niño phenomenon and international stock market aggregate returns. I find that the El Niño anomaly can predict all 14 countries’ stock returns. Specifically, the El Niño unconditional effect can predict stock return negatively in Japan, Malaysia, and South Africa, while the El Niño conditional on winter season can predict positively stock returns in 13 countries’ stock markets except for Japan. This conditional effect …