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題名:天氣對臺灣股票市場報酬之影響
書刊名:國立虎尾科技大學學報
作者:王毓敏蔡進發 引用關係林家妃 引用關係林瑾雯
作者(外文):Wang, Yu-minTsai, Chin-faLin, Cha-feiLin, Chin-wen
出版日期:2009
卷期:28:1
頁次:頁57-76
主題關鍵詞:天氣效應股票報酬波動性Weather effectStock returnVolatility
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:22
  • 點閱點閱:289
本文主要探討天氣對於臺灣股票市場之股價報酬的影響。利用氣溫、濕度與雲量,作爲本文所使用之天氣變數。另外,將雲量多寡區分爲好天氣與壞天氣,探討天氣好壞對於股票市場報酬的波動性是否有不對稱性的影響。再利用SWARCH模型將兩個股票市場分成高波動與低波動期間,分別探討在兩個不同波動狀態下,天氣對股票報酬是否也有不同之影響。實證結果顯示,不論是全樣本或區分高、低波動狀態樣本,集中市場受到天氣因素的影響都比店頭市場來得小。
This paper investigates the relation between the weather and stock returns in Taiwan. Using the temperature, humidity and cloudiness define the weather effect. The weather influences sentiment and sentiment difference. It helps us to understand the asymmetric effect of the stock returns. Then, we use the SWARCH model that the stock returns has two states (high volatility returns and low volatility returns). We also test the weather has the different influence on the different states. The results in this paper showed the humidity and the stock return from GreTai Securities Market (GTSM) has the significant negative effect. But there was no influence in the Taiwan Stock Exchange (TSE). Moreover, GTSM has the more influence from the weather than TSE on the full or sub-period sample.
期刊論文
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研究報告
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學位論文
1.蕭宗益(2007)。大中華區股市時間效應之比較性實證研究--以台北、香港、上海、深圳為例(碩士論文)。國立高雄應用科技大學。  延伸查詢new window
2.陳榮貴(2007)。台灣股票市場與天氣效應關係之探討-非線性動態調整模式(碩士論文)。銘傳大學。  延伸查詢new window
3.吳倩宜(2005)。陽光效用與股票市場--以現金增資宣告為例(碩士論文)。國立成功大學。  延伸查詢new window
4.陳宥任(2005)。Local bias、天氣與台灣股市之間的相互關係(碩士論文)。國立清華大學。  延伸查詢new window
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