請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97128完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳聖賢 | zh_TW |
| dc.contributor.advisor | Sheng-Syan Chen | en |
| dc.contributor.author | 賀建愷 | zh_TW |
| dc.contributor.author | Chien-Kai Ho | en |
| dc.date.accessioned | 2025-02-27T16:19:29Z | - |
| dc.date.available | 2025-02-28 | - |
| dc.date.copyright | 2025-02-27 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2025-02-06 | - |
| dc.identifier.citation | 中文文獻
1. 王韻怡、池祥萱、周冠男（2016）。行為財務學文獻回顧與展望：台灣市場之研究。 2. 王毓敏、蔡進發、林家妃、林瑾雯（2009）。天氣對臺灣股票市場報酬之影響。《國立虎尾科技大學學報》，28（1），57–76。 3. 李春安、陳輝格、林慶章（2011）。基金經理人風險調整行為之研究：展望理論觀點。《財務金融學刊》，19，33–61。 4. 周賓凰、張宇志、林美珍（2007）。投資人情緒與股票報酬互動關係。《證券市場發展季刊》，19（3），1–26。 5. 陳勁遠（2012）。氣候變異對台灣股票報酬率的影響。碩士論文，國立臺灣科技大學。 6. 郭玠妤（2020）。極端氣候對日本股市之影響。碩士論文，朝陽科技大學。 7. 郭敏華、李謙（2005）。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》，6（2），35–51。 8. 賴翰群（2009）。台灣股票市場天氣效應之實證研究。碩士論文，國立臺灣大學國家發展學系。 英文文獻 1. Anttila-Hughes, J. K. (2016). Financial market response to extreme events indicating climatic change. The European Physical Journal Special Topics, 225, 527–538. 2. Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance, 55, 773–806. 3. Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of Banking and Finance, 29, 1559–1573. 4. Chan, K. S. (1993). Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model. The Annals of Statistics, 21(1), 520–533. 5. Chang, T., Nieh, C., Yang, M. J., & Yang, T. (2006). Are stock market returns related to the weather effects? Empirical evidence from Taiwan. Physica A: Statistical Mechanics and Its Applications, 364, 343–354. 6. Cunningham, M. R. (1979). Weather, mood, and helping behavior: Quasi experiments with the sunshine Samaritan. Journal of Personality and Social Psychology, 37(11), 1947–1956. 7. Fama, E. (1970). Efficient capital market: A review of theory and empirical work. Journal of Finance, 25, 382–417. 8. Hirshleifer, D., & Shumway, T. (2001). Good day sunshine: Stock returns and the weather. Ross: Finance. 9. Hoffman, M. L. (1984). Interaction of affect and cognition in empathy. In C. E. Izard, J. Kagan, & R. B. Zajonc (Eds.), Emotions, cognition, and behavior (pp. 103–131). 10. Howarth, E., & Hoffman, M. S. (1984). A multidimensional approach to the relationship between mood and weather. British Journal of Psychology, 75(1), 15–23. 11. IPCC. (2007). AR4 Climate Change: 2007 Synthesis Report. Intergovernmental Panel on Climate Change. 12. IPCC. (2014). AR5 Climate Change 2014: Impacts, adaptation and vulnerability. Summary for policy makers. 13. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48, 65–91. 14. Jiang, Z., Kang, S. H., Cheong, C., & Yoon, S. (2019). The effects of extreme weather conditions on Hong Kong and Shenzhen stock market returns. International Journal of Financial Studies. 15. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision making under risk. Econometrica, 47, 263–291. 16. Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A sad stock market cycle. Capital Markets eJournal. 17. Makridis, C. A., & Schloetzer, J. D. (2023). Extreme local temperatures lower expressed sentiment about U.S. economic conditions with implications for the stock returns of local firms. Journal of Behavioral and Experimental Finance, 37, 100710. 18. Murray, K., Muro, F., Finn, A., & Popkowski Leszczyc, P. (2010). The effect of weather on consumer spending. Journal of Retailing and Consumer Services, 17, 512–520. 19. Murray, V., & Ebi, K. L. (2012). IPCC special report on managing the risks of extreme events and disasters to advance climate change adaptation (SREX). Journal of Epidemiology and Community Health, 66, 759–760. 20. Pagnottoni, P., Spelta, A., Flori, A., & Pammolli, F. (2022). Climate change and financial stability: Natural disaster impacts on global stock markets. Physica A: Statistical Mechanics and Its Applications, 599, 127514. 21. Pardo, Á., & Valor, E. (2003). Spanish stock returns: Where is the weather effect? European Financial Management, 9, 117–126. 22. Peillex, J., Ouadghiri, I., Gomes, M., & Jaballah, J. (2021). Extreme heat and stock market activity. Ecological Economics, 179, 106810. 23. Saunders, E. M. (1993). Stock prices and Wall Street weather. American Economic Review, 83, 1337–1345. 24. Schwarz, N., & Clore, G. L. (1983). Mood, misattribution, and judgements of well-being: Informative and directive functions of affective states. Journal of Personality and Social Psychology, 45, 513–523. 25. Shiller, R. C. (2000). Irrational exuberance. Philosophy and Public Policy Quarterly, 20, 18–23. 26. Symeonidis, L., Daskalakis, G., & Markellos, R. N. (2010). Does the weather affect stock market volatility? Monetary Economics eJournal. 27. Tol, R. (2018). The economic impacts of climate change. Review of Environmental Economics and Policy, 12, 4–25. 28. Tversky, A., & Kahneman, D. (1981). The framing of decisions and the psychology of choice. Science, 211(4481), 453–458. 29. U-Din, S., Nazir, M. S., & Sarfraz, M. (2021). The climate change and stock market: Catastrophes of the Canadian weather. Environmental Science and Pollution Research, 29, 44806–44818. 30. Yoon, S., & Kang, S. H. (2009). Weather effects on returns: Evidence from the Korean stock market. Physica A: Statistical Mechanics and Its Applications, 388, 682–690. | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/97128 | - |
| dc.description.abstract | 本研究探討極端氣候對台灣股市報酬率的影響。隨著全球氣候變遷，極端天氣事件的頻率和強度顯著增加，這對各行各業的運營和經濟活動產生了深遠影響。本研究旨在通過量化分析，評估這些極端氣候事件對台灣股市的影響。
透過本研究結果，發現濕度及溫度這兩種較容易影響人類心理及身理的天氣變數，在極端的情況下，確實會對某些產業的指數報酬率造成負的影響。因此，希望投資者能夠透過本研究結果，更全面地評估氣候變遷對股市投資帶來的機會與風險，同時也能為相關的政策制定提供了重要的參考依據。 | zh_TW |
| dc.description.abstract | This study explores the impact of extreme climate on stock market returns in Taiwan. With global climate change, the frequency and intensity of extreme weather events have increased significantly, which has had a profound impact on operations and economic activities in various industries. The study aims to assess the impact of these extreme climate events on Taiwan's stock market through quantitative analysis.
Through the results of this study, it was found that humidity and temperature, two weather variables that are more likely to affect human psychology and body, will indeed have a negative impact on the rate of index of certain industries in extreme cases. Therefore, we hope that investors can use the results of this study to more comprehensively assess the opportunities and risks that climate change brings to stock market investment, while also providing an important reference for relevant policy formulation. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2025-02-27T16:19:29Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2025-02-27T16:19:29Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員審定書…………………………………………………………………………i
中文摘要……………………………………….………………………………………..ii ABSTRACT……………………………………………………………….……………iii 目次………………………………………………………………………...…….…......iv 圖次………………………………………………………………………...…….…......vi 表次…………………………………………………………………………….…........vii 第一章 緒論…………………………………………………………………….............1 第一節 研究背景與動機……………………………………………………….....1 第二節 研究目的………….……………………………...……………………….2 第三節 研究架構……………………………………………………………….....2 第二章 文獻回顧…………………………………………………………………….....4 第一節 市場效率假說及行為財務學………………………………………….....4 第二節 天氣對股市的影響……………………………...……………………......5 第三節 極端氣候之定義及其對股市之影響…………………………………….8 第四節 研究假說………………………………………………………………….9 第三章 研究方法……………………………………………………………………...11 第一節 研究資料………………………………………………………………...11 第二節 GJR-GARCH模型……………………………...……………..………...15 第四章 實證結果與分析……………………………...………………………….…...19 第一節 加權股價指數…………………………….......…………………….…...19 第二節 食品工業類指數………………….......…………………………….…...21 第三節 金融保險類指數………………….......…………………………….…...23 第四節 貿易百貨類指數………………………….......…………………….…...25 第五節 化學生技醫療類指數…………………….......…………………….…...26 第五章 結論與建議………………….......………………………...….………….…...29 第一節 研究結論………………….......…………………...….…………….…...29 第二節 研究建議………………….......………………………..……..…….…...30 參考文獻………………….......………………………..……..…………………...…...31 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 股票報酬率 | zh_TW |
| dc.subject | GJR-GARCH模型 | zh_TW |
| dc.subject | 天氣效應 | zh_TW |
| dc.subject | 極端氣候風險 | zh_TW |
| dc.subject | 氣候變遷 | zh_TW |
| dc.subject | GJR-GARCH model | en |
| dc.subject | Climate change | en |
| dc.subject | Extreme climate risk | en |
| dc.subject | Weather effect | en |
| dc.subject | Stock returns | en |
| dc.title | 極端氣候對台灣股市的影響 | zh_TW |
| dc.title | The impact of extreme weather on Taiwan's stock market | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 113-1 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 何耕宇;黃嘉威 | zh_TW |
| dc.contributor.oralexamcommittee | Keng-Yu Ho;Chia-Wei Huang | en |
| dc.subject.keyword | 氣候變遷,極端氣候風險,天氣效應,股票報酬率,GJR-GARCH模型, | zh_TW |
| dc.subject.keyword | Climate change,Extreme climate risk,Weather effect,Stock returns,GJR-GARCH model, | en |
| dc.relation.page | 35 | - |
| dc.identifier.doi | 10.6342/NTU202500451 | - |
| dc.rights.note | 未授權 | - |
| dc.date.accepted | 2025-02-06 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| dc.date.embargo-lift | N/A | - |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-113-1.pdf 未授權公開取用 | 1.18 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。