| 摘要: | 過去許多文獻都指出天氣因素將會促使人們從事特定行為，同時也發現日照、溫度、濕度這三種因素對人們的心理層面影響最大(Howarth and Hoffman,1984)，然而過去部分實證結果並未考慮市場態勢對投資人之影響(Trombley, 1997; Jacobsen and Marquering, 2008; Lu and Chou, 2012)，因此本文將使用日照、溫度和濕度等天氣變數來檢測極端天氣因素對股價報酬的影響，其樣本資料為2010~2014五分鐘台灣加權股價指數日內資料，並以GJR-GARCH模型來試圖捕捉波動不對稱之現象，此外，股票市場的波動受到相當多的經濟因素所影響，故本文加入市場態勢條件，使天氣效果能夠充分被表現，最後，本文研究結果補足以往相關文獻，並可供市場參與者作為投資之參考依據。
Such of the literature shows that weather encourages people to engage in par-ticular behaviors, and that three factors in particular, namely sunshine, temperature, and humidity, have the greatest impact on psychological investors (Howarth and Hoffman, 1984). However, some results indicate that the effect of the weather is not that signifi-cant (Trombley, 1997; Ben and Wessel, 2008; Jing and Robin, 2012). Hence, our research uses weather variables: temperature, humidity and cloud cover in order to detect the effects of extreme weather conditions on the stock return. The sample data used in this study consists of the intraday with five minutes stock price of Taiwan between 2011 and 2015. Considering asymmetric volatility effects, this study uses the GJR-GARCH model to capture stock market returns. In addition, the volatility of the stock market is affected by a number of economic factors. Therefore, this study in-cludes the market situation, namely whether it is a bear or bull market, as an additional condition in order to explore whether the condition of the market makes the effect of the weather more significant. The results of this research support the relevant literature and can be used as advice for investors. |
