Are stock market returns related to the weather effects? Empirical evidence from Taiwan

doi:10.1016/j.physa.2005.09.040

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/23759

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題名:	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
貢獻者:	淡江大學財務金融學系
關鍵詞:	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
上傳時間:	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
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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