台灣股票市場天氣效應之實證研究

Abstract

情緒歸因錯誤說明人們心情好時候對任何事物會抱持樂觀的態度，心情不好的時候則會產生悲觀想法，情緒影響決策過程的現象，將造成投資人對於風險性資產評估差異。本研究目的在於釐清天氣產生的投資人情緒歸因錯誤，引發的天氣效應是否會造成台灣股票市場報酬率的異常現象，除此之外，亦加入間接投資人情緒指標做為被解釋變數，試圖尋找更多天氣影響投資行為的證據。 由於股票市場資料具有非常態的特性，為了讓模型達到較佳配置，我們使用分量迴歸進行分析，利用分量迴歸對於被解釋變數在條件分配的係數估計，可以進一步探討在不同市場行情下，天氣對於投資人情緒的影響程度差異。 實證結果並無法說明天氣與台股加權指數報酬率有直接關係。然而，溫度越高、雲量越厚皆會造成散戶投資人周轉率及當日沖銷比率下降，此現象在散戶投資人周轉率及當日沖銷比率位於高分量時候更加明顯，意味著散戶投資人對市場未來看法過度樂觀，或者投機氣氛濃厚時，對於外在天氣的反應較敏感，情緒的歸因錯誤程度越大。在機構投資人方面，機構投資人的買賣傾向某種程度上會取決於當日天氣陰晴與否，不過隨著機構投資人對於未來市場的看法漸趨明朗，在機構投資人買賣超位於高分量及低分量時，雲量多寡的影響則消失不見。

The misattribution of mood argues that people in a good mood are more optimistic about events, on the contrary, in a bad mood are more pessimistic. Even though the mood is irrelevant to the information being evaluated, at times, people’s decisions are still guided by their feelings in some degree. In this paper, we use database of Taiwan Stock Exchange to examine the weather effect on stock returns. Moreover, in order to provide sufficient evidence that weather relate to investor’s trading behavior, we include several indirect investor sentiment indices in the model respectively. Due to the non-normality property of stock market data, we apply quantile regression to fit the empirical model. With the conditional quantile estimates, we can further verify in which stock market performance weather effect most.

The empirical results suggest there is no influence of weather on stock returns. Even so, we still find some evidence that investor reflect their mood on trading behavior. Temperature or cloudy days are negatively associated with individual investor turnover ratios and day trading ratios, this phenomenon gets severe at high quantile. It imply the circumstance that individual investors are more risk aversion when their background mood is over-optimistic and trading strategy is speculation. In the aspect of institutional investors, their propensity to buy or sell equities is truly depends on whether the day is sunny or cloudy. But this effect reduce, as institutional investors get much more stock market information.