English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62568/95225 (66%)
造访人次 : 2509181      在线人数 : 31
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻

    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23759

    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


    档案 描述 大小格式浏览次数
    Are stock market returns related to the weather effects Empirical evidence from Taiwan.pdf305KbAdobe PDF1检视/开启



    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈