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    题名: Are stock market returns related to the weather effects? Empirical evidence from Taiwan
    作者: Chang, Tsangyao;Nieh, Chien-Chung;Yang, Ming Jing;Yang, Tse-Yu
    贡献者: 淡江大學財務金融學系
    关键词: Atmospheric humidity;Behavioral research;Correlation theory;Financial data processing;Investments;Strategic planning;Temperature;Asset pricing models;Financial institutions;Stock market returns;Threshold model with the GJR-GARCH on error;Weather factors;Economics
    日期: 2006-05
    上传时间: 2013-07-09 15:03:38 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: In this study, we employ a recently developed econometric technique of the threshold model with the GJR-GARCH process on error terms to investigate the relationships between weather factors and stock market returns in Taiwan using daily data for the period of 1 July 1997–22 October 2003. The major weather factors studied include temperature, humidity, and cloud cover. Our empirical evidence shows that temperature and cloud cover are two important weather factors that affect the stock returns in Taiwan. Our empirical findings further support the previous arguments that advocate the inclusion of economically neutral behavioral variables in asset pricing models. These results also have significant implications for individual investors and financial institutions planning to invest in the Taiwan stock market.
    關聯: Physica A: Statistical Mechanics and its Applications 364, pp.343-354
    DOI: 10.1016/j.physa.2005.09.040
    显示于类别:[財務金融學系暨研究所] 期刊論文

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