Weather effect and Taiwan stock returns

碩士 === 國立嘉義大學 === 企業管理學系 === 96 === ABSTRACT Can weather effect investors’ sentiment and behavior? We want to know if weather can effect TSE and OTC stock market return in Taiwan. So we use temperature, humidity and cloud cover as weather variables, and TSE and OTC daily market index returns as depe...

Full description

Bibliographic Details
Main Authors: Chin Wen Lin, 林瑾雯
Other Authors: Yu Min Wang Ph. D.
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/69063662785702168818
id ndltd-TW-096NCYU5457006
record_format oai_dc
spelling ndltd-TW-096NCYU54570062015-11-27T04:04:32Z http://ndltd.ncl.edu.tw/handle/69063662785702168818 Weather effect and Taiwan stock returns 天氣與臺灣股市報酬之研究 Chin Wen Lin 林瑾雯 碩士 國立嘉義大學 企業管理學系 96 ABSTRACT Can weather effect investors’ sentiment and behavior? We want to know if weather can effect TSE and OTC stock market return in Taiwan. So we use temperature, humidity and cloud cover as weather variables, and TSE and OTC daily market index returns as dependent variables to examine the effect in Taiwan stock markets. All data across 2000 to 2007, using regression and GARCH model to analyze it. To examine whether weather can cause asymmetric effect, we use cloud cover and see if it can affect stock volatility. And we separate stock return to low and high volatility by SWARCH model to see if weather has different effects in different conditions. In our conclusions, we found only humidity has significantly correlated with stock returns in OTC stock market. Using cloud cover as weather variable, we found cloud cover has significantly affected those two markets’ volatility. It really has significant asymmetric effect in those two markets. And using SWARCH model to separate data, we get two different sample data. We found cloud cover has a significant effect on TSE stock market return in high volatility and wet has a significant effect on OTC stock market in high volatility. During low volatility, only wet can affect OTC stock market returns. Using other way to examine the effect, we separate different volatility from dummy variables. We found there in no weather effect during high volatility, but cloud cover can affect TSE and OTC’s stock market returns, even temperature can affect OTC stock market returns. Above all, we know weather related to investor’s sentiment, even related to their behavior. So we can say there is quite relation between weather and stock returns, especially in OTC stock market. Yu Min Wang Ph. D. 王毓敏博士 學位論文 ; thesis 0 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 國立嘉義大學 === 企業管理學系 === 96 === ABSTRACT Can weather effect investors’ sentiment and behavior? We want to know if weather can effect TSE and OTC stock market return in Taiwan. So we use temperature, humidity and cloud cover as weather variables, and TSE and OTC daily market index returns as dependent variables to examine the effect in Taiwan stock markets. All data across 2000 to 2007, using regression and GARCH model to analyze it. To examine whether weather can cause asymmetric effect, we use cloud cover and see if it can affect stock volatility. And we separate stock return to low and high volatility by SWARCH model to see if weather has different effects in different conditions. In our conclusions, we found only humidity has significantly correlated with stock returns in OTC stock market. Using cloud cover as weather variable, we found cloud cover has significantly affected those two markets’ volatility. It really has significant asymmetric effect in those two markets. And using SWARCH model to separate data, we get two different sample data. We found cloud cover has a significant effect on TSE stock market return in high volatility and wet has a significant effect on OTC stock market in high volatility. During low volatility, only wet can affect OTC stock market returns. Using other way to examine the effect, we separate different volatility from dummy variables. We found there in no weather effect during high volatility, but cloud cover can affect TSE and OTC’s stock market returns, even temperature can affect OTC stock market returns. Above all, we know weather related to investor’s sentiment, even related to their behavior. So we can say there is quite relation between weather and stock returns, especially in OTC stock market.
author2 Yu Min Wang Ph. D.
author_facet Yu Min Wang Ph. D.
Chin Wen Lin
林瑾雯
author Chin Wen Lin
林瑾雯
spellingShingle Chin Wen Lin
林瑾雯
Weather effect and Taiwan stock returns
author_sort Chin Wen Lin
title Weather effect and Taiwan stock returns
title_short Weather effect and Taiwan stock returns
title_full Weather effect and Taiwan stock returns
title_fullStr Weather effect and Taiwan stock returns
title_full_unstemmed Weather effect and Taiwan stock returns
title_sort weather effect and taiwan stock returns
url http://ndltd.ncl.edu.tw/handle/69063662785702168818
work_keys_str_mv AT chinwenlin weathereffectandtaiwanstockreturns
AT línjǐnwén weathereffectandtaiwanstockreturns
AT chinwenlin tiānqìyǔtáiwāngǔshìbàochóuzhīyánjiū
AT línjǐnwén tiānqìyǔtáiwāngǔshìbàochóuzhīyánjiū
_version_ 1718138653622927360