Are stock market returns related to the weather effects? Empirical evidence from Taiwan
學年 94
學期 2
出版（發表）日期 2006-05-01
作品名稱 Are stock market returns related to the weather effects? Empirical evidence from Taiwan
作品名稱（其他語言）
著者 Chang, Tsangyao; Nieh, Chien-Chung; Yang, Ming Jing; Yang, Tse-Yu
單位 淡江大學財務金融學系
出版者 Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數 Physica A: Statistical Mechanics and its Applications 364, pp.343-354
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.
關鍵字 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
語言 en
ISSN 0378-4371
期刊性質 國外
收錄於 SCI
產學合作
通訊作者 Yang, Ming Jing
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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