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Author: 陳勁遠
Jing-Yuan Chen
Thesis Title: 氣候變異對台灣股票報酬率的影響
The Effect of Climate Variability on Taiwan Stock Market
Advisor: 黃瑞卿
Rachel-juiching Huang
Committee: 張光第
Guangdi Chang
曾郁仁
Larry Y Tzeng
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2012
Graduation Academic Year: 100
Language: 中文
Pages: 39
Keywords (in Chinese): 效市場假為財務學天氣效應
Keywords (in other languages): Efficient Market Hypothesis, Behavioral Finance, Weather Effect
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Fama(1970)發表的效率市場假說奠定了傳統財務學的基礎,後來陸續有學者發現一些傳統財務學無法解釋的現象,因此行為財務學就在此背景下興起,以一些中立變數來解釋市場異常現象,而人類深受所處的氣候環境影響,天氣效應便成為近期學者研究的熱門議題。
本研究樣本採用為期10年的台灣股市週報酬率與氣候資料,以複迴歸模型來探討氣候因子與各產業指數報酬率之間的關係,研究發現氣候因子氣溫與台灣股市報酬率之間呈現顯著負相關,而顯著負相關的產業中又以電機機械、鋼鐵工業及電子類指較為顯著,變數溼度因子雖未對整體股市造成影響,但與貿易百貨指數報酬率呈現顯著負相關,變數雲層覆蓋度因子則與電子類指指數報酬率有一致的顯著負相關。
國內、外文獻大多以氣候指標的平均值來探討其效應,然而人們受氣候變異程度影響更甚,極端的氣候狀態會帶來更大的損害,氣候風險已成為一種投資人無可避免的風險,本研究並深入探討氣候變異對台灣股市報酬率的影響,研究發現氣候變異程度對各產業報酬率有顯著影響,但對台灣整體股市報酬率並不存在顯著影響,不同氣候指標的變異程度與不同產業報酬率存在著顯著關係,其中又以降雨量與雲層覆蓋度的變異程度較為顯著,而所有產業中,玻璃陶瓷產業是唯一不受氣候變數影響的產業,季節性情緒混指標(SAD)與一月虛擬變數無法解釋各產業當期報酬率,與各產業指數報酬率之間並不存在顯著關係。


Efficient Market Hypothesis is the basic of traditional finance; however, the existence of market anomaly that has been empirically proven to exist on many stock markets. Behavioral finance becomes one of the mainstream financial researches, weather effects recently is a topical issue in this field.
This paper is mainly to find out the relationship between weather effects and Taiwan stock return by multiple regression model, using the sample data from the 29th, December, 2001 to 30th, December, 2011. It is shown that the temperature highly negatively related to the Taiwan stock return, especially in the Electric Machinery, Iron and Steel and Electronics industries. In addition, Humidity is negatively correlated with Trading and Consumers' Goods index. Cloud cover is negatively correlated with Electronics index.
Climate variability is an inevitable risk to investors; it will cause great damage than others. However, most literature adopts average climate indicators to measure the effect of weather. Therefore, this study investigates the effect of climate variability on Taiwan stock market. It is shown that the climate variability degree highly related to the index return in various industries, precipitation and cloud cover especially, but it’s not highly related to Taiwan stock market. Glass and Ceramic index is the only industry not affected by climate variables. SAD and January effect don’t exist in Taiwan market.

第一章 緒論 8 第一節 研究背景與動機 8 第二節 研究問題與目的 10 第三節 研究架構與流程 11 第二章 文獻探討 12 第一節 天氣效應相關文獻探討 12 第三章 研究方法 15 第一節 單根檢定 15 第二節 複迴歸分析法 17 第四章 實證結果與分析 20 第一節 資料來源與分析 20 第二節 單根檢定結果 25 第三節 複迴歸模型結果 27 第五章 結論 35 參考文獻 38

中文部分
(1)郭敏華、李謙,「陽光影響投資情緒?以台灣股票市場為例」,台灣金融財務季刊,第6輯,第2期,第35-51頁 (2005)。
(2)陳榮貴,「台灣股票市場與天氣效應關係之探討—非線性動態調整模式」,碩士蟹,私立銘傳大學,臺北 (2007)。
(3)倩鋒,「股票市場報酬與天氣變化之關性分析—八大工業國與中國股市之實證」,碩士蟹,私立銘傳大學,臺北 (2008)。
(4)趙元顥,「證券報酬是否受到天氣因素之影響—全球證券市場縱橫資之實證分析」,碩士蟹,私立銘傳大學,臺北 (2008)。
(5)許惠珠、潘慈暉,「股市報酬之溫度效應—以亞洲國家為例」,中華技術學院學報,第40輯,第195-207頁 (2009)。

英文部分
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(6)Hirshleifer, D. and T. Shumway, “Good Day Sunshine: Stock Returns and The Weather”, Journal of Finance, Vol. 58, pp. 1009-1062 (2003).
(7)Kamstra, M. J., Kramer, L.A., and Levi, M.D., “Winter Blues: A SAD stock market cycle”, The American Economic Review, Vol. 93, pp. 324-343 (2003).
(8)Patrick, J. Kelly, and Felix, Meschke, “Sentiment and stock returns: The SAD anomaly revisited”, Journal of Banking & Finance, Vol. 34, No. 6, pp. 1308–1326 (2010).
(9)Granger, C. W. J., and Newbold, P., “Forecasting Transformed Series”, Journal of Roy. Statistics, Vol. 38, pp. 189-203 (1976).
(10)Said, S.E. and D.A. Dickey, “Testing for Unit Roots in Autoregressive-Moving Average Model of Unknown Order”, Biometrika Journal, Vol. 71, pp. 599-607 (1984).
(11)Phillips, P.C. and Perron, P., “Testing for a unit root in time series regression”, Biometrika Journal, Vol. 75, No. 2, pp. 335-346 (1988).

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