天氣會影響台灣金融市場嗎？－以ETF為例

Whether or Not? The Weather Affect to Taiwan's ETF Market

黃美虹(Mei-Hung Huang) ； 林昱呈(Yu-Cheng Lin)

《國防管理學報》 35卷1期 (2014/05) Pp. 49-67

摘要

Kahneman and Tversky（1979）提出展望理論，由心理層面來探討投資人決策過程，重新檢視了金融市場的價格，為傳統財務學注入了新的思維－人的不理性行為。天氣是否會影響台灣指數股票型基金（ETF）指數市場？在傳統效率市場的觀點下答案是否定的，然而從心理學的觀點而言，天氣會影響情緒，晴朗的天氣給人正面的好心情，進而對未來充滿樂觀的想法；昏暗多雲的天氣讓人感覺鬱悶，對未來產生悲觀。因此天氣好壞是否影響基金投資人的判斷能力，而後影響他們的投資決策呢？本文提出天氣可能會影響指數股票型基金的想法，以台北市天氣（包括溫度、相對濕度、降雨量、氣壓等）代理投資人情緒的論點，探討其Bin test、Tobit與Garch模型等方法對台灣50指數、50報酬基金指數的影響。證結果發現天氣與指數股票型基金有顯著的相關，天氣因子與ETF市場確實是存在著關聯性的，在三種檢定方法之下可以發現，氣壓對ETF市場是有顯著的影響。在其他天氣變數方面，雖然沒有得到很顯著的統計量，但仍可發現隨著溼度的上升，平均報酬有下降的趨勢；但是當加入氣溫和雨量變數的交互作用項之後，此兩交互作用項對ETF市場的影響皆未得到統計上顯著的支持，表示濕冷的天氣並不太會影響現代的投資人心情，更不會影響到基金市場的表現，因為通常基金是投資人透過基金經理人下單操作，或透過網路直接下單在有許多市場的消息下才會做決策。

關鍵字

指數股票型基金 ； 投資人情緒 ； 天氣效應 ； 行為財務學

並列摘要

Kahneman and Tversky (1979) prospect theory proposed by investors' decision-making process to explore the psychological aspects, and re-examined the price of financial market for the traditional finance initiation into a new thinking-irrationality. Does the climate affect Taiwan Exchange Traded Funds (ETF)? In view of the traditional efficiency market is negative, but a psychological point of view, the climate will affect the mood. The sunny climate brings about a positive optimism mood, and otherwise, the dark-cloudy weather brings pessimistic depressed emotion in the future. Does the weather influence the investment decisions of fund manager? This paper presents the climate may affect the ETF of Taiwan, for Taipei's climate (including temperature, relative humidity, rainfall, barometric pressure, etc.) arguments for agency index-investor sentiment, to explore its Bin Test, Tobit and Garch models on Taiwan 50 Index and 50 Index of reward fund. The empirical result founds the climate was significantly associated with index stock funds, climatic factors and the ETF market is indeed a correlation. Under the three test methods can be found on the ETF market have a significant impact. In other climate variables is not very significant, but still found that the rising humidity takes a downward trend on the average return. When adding a variable temperature and rainfall interaction term, these two interaction terms on the ETF market is insignificant. The wet weather is either less impact to modern investors, or no affects the performance of the fund market. Most people order by the fund manager, or directly through the internet, when they own lots of information to make decision.

並列關鍵字

ETF ； behavioral finance ； investor sentiment ； weather effect