Abstract
This paper examines the impact of COVID-19 nationwide lockdown on the relationship between weather anomaly and the Vietnam stock market - a fast-growing emerging market. The paper employs event study methodology to compute the cumulative abnormal return of stocks during the pandemic, and the Holt-Winters Exponential Smoothing model to build the formula for weather anomaly for weather variables. In addition, a t-test is performed to examine the statistical significance of weather variables, as well as the impact that the lockdown order had on stock performance. Cross-sectional analysis by Ordinary Least Squares regression is also applied for estimating the relationship between weather and stock market performance. The finding shows that prior to the COVID-19 lockdown, all of the risk and return indicators, with the exception of idiosyncratic risk, are affected by temperature. After the lockdown order was withdrawn, temperature is only correlated with cumulative real returns and cumulative abnormal returns. Meanwhile, air pressure only appears to have an influence on cumulative abnormal returns after the lockdown, yet being the only meteorological factor that could impact the stock market during the lockdown. Generally, the larger the weather anomaly, the worse the returns and the higher the risks. The paper gives recommendations for listed companies and authorities to have better performance while engaging in and regulating the stock markets. Moreover, the results can be used as a reference for the investing community to incorporate meteorological factors into their analysis.