臺大管理論叢 NTU Management Review VOL.30 NO.3

45 DOI:10.6226/NTUMR.202012_30(3).0002 氣象所引致投資人情緒變化的長期股市報酬率影響 Time Paths of Weather-Induced Mood Effects on Stock Returns Abstract Previous studies on the effects of weather-driven moods on stock returns focus on significance tests but do not examine the time behaviors of these effects. This study estimates the vector autoregressive model to examine the time paths of the effects and analyzes whether the effects are temporary or permanent. Using the daily returns on the Stock Exchange of Thailand index portfolio and the weather conditions in Bangkok, this study finds that weather-driven mood effects exist and are permanent. Significant temporary effects are not observed. 【 Keywords 】 investor sentiment, return behavior, weather effects 摘 要 過往針對天氣因素所致之情緒波動對於股票報酬率影響之研究著重於當期沖擊之顯著 檢定，但並未探究其中時間效應所致影響。本研究以「向量自回歸模型」 (VAR 模型 ) 估算、檢驗時間效應所致影響，並分析其影響是一時或長久的。本研究運用了泰國證 券交易所交易指數共 6335 個交易觀察日每日報酬以及曼谷的氣候概況，發現天氣導 致之市場投資人情緒反應顯著且長久的。本研究並未觀察重要但一時性的效應。 【關鍵字】 投資者情緒、報酬率行為、天氣效應 Anya Khanthavit , Faculty of Commerce and Accountancy, Thammasat University Received 2018/11, Final revision received 2019/5 NTU Management Review Vol. 30 No. 3 Dec. 2020, 45-76 領域主編：黃泓人教授