| Summary: | 碩士 === 國立成功大學 === 國際經營管理研究所碩士班 === 100 === As one of emerging market, Indonesia has successfully shows a positive growth within this last 3 years. On its rapid growth and development, we are investigating Indonesia Stock Exchange (IDX) towards influence from the weather. Given the weather as mood proxy that can influence investor behavior on making investment decision, we analyze the weather variables; cloud cover, rainfall precipitation and temperature, effect on Indonesia stock market returns and volatility. After running single and multiple linear regression model we are convinced that temperature has positive influence towards Indonesia stock market returns. Meanwhile, through GJR-GARCH(1,1) model, we found a significant negative influence from rainfall precipitation towards Indonesia stock market volatility. After all, our research provide better scholarly understanding towards weather effect on stock returns and volatility, especially on Indonesia stock market. However, the findings are needed more attention in order to take it as a consideration for trading strategy.
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