天氣對股票市場的影響-分量迴歸分析

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

吳宸瑋(CHEN-WEI WU)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2018年)

摘要

本研究使用分量迴歸來檢驗天氣對台灣股市的影響。 我們考慮了壓力，最高溫度，最低溫度，相對濕度，降雨量，風速，日照率，可見度以及股票市場報酬率，報率的絕對值，周轉率，波動性，情緒指標和流動性代表股票市場特徵的六個變量。我們研究天氣對極端股票市場的影響，與極端氣候對於股票市場的影響。我們的調查結果顯示，在極端市場中很少有證據預測天氣對股市報酬率有影響。然而，天氣對交易活動有重大影響，例如周轉率、波動率、流動性。另外在極端天氣情況下中我們發現所有的天氣對股票市場都有著顯著的影響性。

關鍵字

股市報酬 ； 交易活動 ； 天氣影響 ； 情緒 ； 分量迴歸

並列摘要

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.

並列關鍵字

stock market return ； trading activity ； weather effects ； sentiment ； quantile regression

參考文獻

Reference

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