Does weather impact the stock market? Empirical evidence in Taiwan

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题名:	Does weather impact the stock market? Empirical evidence in Taiwan
作者:	Wang, YH (Wang, Yi-Hsien) Lin, CT (Lin, Chin-Tsai) Lin, JD (Lin, Jung Dan)
贡献者:	Dept Banking & Finance
关键词:	Risk Behavioral finance GJR-GARCH Mood VOLATILITY JUDGMENTS RETURNS
日期:	2012-03
上传时间:	2013-02-22 16:22:04 (UTC+8)
摘要:	Psychological evidence suggests close relationships between weather and mood. Individuals feel in a more positive frame of mind on sunny than cloudy days. This study applies GJR-GARCH to examine the relationship among weather, stock returns and risk in Taiwan from 2001 to 2007. The empirical results indicate that precipitation does not significantly influence stock return and risk; likewise, sunshine hours and temperature insignificantly influence stock return, but do significant impact stock risk. These findings demonstrate that weather effect really exist in stock market, and can help investors in making innovative investment and management decisions
關聯:	QUALITY & QUANTITY 卷: 46 期: 2 頁數: 695-703
显示于类别:	[財務金融學系 ] 期刊論文

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