Does weather anomaly still affect the emerging stock market under the unexpected event? New evidence from the COVID-19 pandemic.

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 -test is performed to examine the statistical significance of weather variables, as well as the impact that the lockdown order had on stock performance.