The Impact of the Weather on the Taiwan Stock Market： A Quantile Regression Analysis

• Main Authors: WU, CHEN-WEI, 吳宸瑋
• Other Authors: LEE, RUEI-LIN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/7c4dmn

碩士 === 朝陽科技大學 === 財務金融系 === 106 === This study examines the impact of the weather on the Taiwan stock market by applying the quantile regression. We consider the alternative eight weather variables including pressure, max temperate, min temperate, relative humidity, rainfall, wind speed, sunshine rate, visibility and six variables for stock market characteristics including (absolute) stock market return, turnover rate, volatility, sentiment, and illiquidity. We study the impact of weather on extreme stock markets and the impact of extreme weather on the stock market.Our findings show that little evidence has predicted on the impact of the weather on the stock market returns. However, there are significant impacts of weather on the trading activities, especially high quantiles in the trading activities. In addition, in extreme weather conditions, we found that all weather has a significant impact on the stock market.