氣候舒適度對投資人情緒與台灣股票市場的影響

Abstract

在探討投資人情緒與股市行為時，國內文獻在直接投資人情緒指標上缺乏實證研究。而在探討氣候變數與股市行為時，多數採用線性模型，致無法凸顯投資人行為在值域內舒適氣候區間的特殊性，並且缺乏探討人體實際對於天氣感受狀況的解釋。為此，本研究探討不同氣候區間的投資人交易行為是否有顯著差異，以及氣候對直接情緒與股市交易行為的殘差是否存在邊際解釋力。 實證結果發現，在個別的氣候區間，加權指數報酬率與融資增減比在舒適氣候的平均數較高，但是在不同氣候間的表現無顯著差異。股市行為表現在舒適氣候的表現下最好，次者為寒冷氣候，炎熱氣候的表現在所有的氣候當中表現最差。 此外，散戶投資人的情緒與加權指數報酬率、成交量、當日沖銷比、融資增減比、散戶週轉率、三大法人週轉率、三大法人淨買入或淨賣出有顯著的正相關，而在投資人情緒與交易行為關係之外，舒適度指數對成交量有顯著的負向干擾效果，對融資增減比則有顯著的正向干擾效果，而當氣候愈顯得寒冷或炎熱時，當日沖銷比會增加。

This study explores whether and the extent to which Taiwan’s Comfort Index helps explain the variations of investor sentiment and stock returns.

The empirical results suggest that Taiwan’s stock market performs the best in comfortable weather and the worst in hot weather conditions. The former piece of evidence is consistent with the statement regarding the physiological effect in prior studies, which, specifically, document that pleasant weather conditions arouse an optimistic mood and behavior. Moreover, this study documents that direct investor sentiment has a significantly positive correlation with stock returns, daily trading volume, day trading ratio, margin purchase, short sales, retail and three institutional investors’ turnover, and three investors’ net purchase or net sell. Taiwan’s Comfort Index has a significantly negative interference effect on daily trading volume between direct investor sentiment and trading behavior, and a positive interference effect on margin purchase. Furthermore, the more extreme the weather condition, the greater the day trading ratio is.