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

Time Paths of Weather-Induced Mood Effects on Stock Returns 58 Table 2 Impulse Responses of the Stock Return to One Standard Deviation Shock of the Weather ’ s Fourth Principal Component Year Lag Impulse Response (Day) 0 1 2 3 4 1992 2 -0.0938 -0.1093 -0 .0036 -0.0047 -0.0137 1993 1 0 .0056 -0.0261 -0.0173 -0. 0089 -0.0042 1994 1 -0.0594 -0.0548 -0.0133 -0.0027 -5.41E-04 1995 1 -0.0539 0.0385 0.0163 0.0052 0.0015 1996 1 0.1809*** 2.14E-04 -0.0033 -8.96E-04 -1.76E-04 1997 1 -0.0541 -0.0402 -0.0176 -0.0066 -0.0023 1998 1 0.1284 0.0837 0.0317 0.0103 0.0031 1999 1 -0.1595* -0.1176 -0.0594 -0.0276 -0.0125 2000 1 -0.0823 0.0187 0.0039 0.0011 3.12E-04 2001 1 -0.0098 0.0628 0.0214 0.0059 0.0016 2002 1 0.1344** 0.0646 0.0079 5.97E-04 2.04E-05 2003 1 -0.1117** 0.0563 0.0229 0.0060 0.0013 2004 1 -0.1034 0.0179 0.0073 0.0035 0.0017 2005 1 -0.0116 -0.0443 -0.0034 -4.68E-04 -5.18E-05 2006 1 -0.0268 -0.0939 0.0151 -0.0047 0.0011 2007 1 0 .0084 -0.0041 -0.0007 -8. 36E-05 -9.58E-06 2008 1 -0.1012 -0.1886** -0.0259 -0.0028 -2.72E-04 2009 1 -0.0291 0.1331** 0.0022 9.37E-04 3.20E-05 2010 1 -0.0286 0.0607 0.0063 5.95E-04 5.52E-05 2011 1 0.0391 -0.0430 -0.0041 -4.01E-04 -3.95E-05 2012 1 0.0333 0.0019 -1.45E-04 8.91E-06 -5.32E-07 2013 1 -0.0862 -0.0244 -0.0022 -1.24E-04 -3.50E-06 2014 1 -0 .0081 -0.0289 -0.0022 -1. 19E-04 -5.60E-06 2015 1 0.0138 -0.0494 -0.0189 -0.0071 -0.0026 2016 1 -0.0798** -0.0796** -0.0109 -0.0022 -3.95E-04 2017 1 0.0178 -0.0194 -0.0044 -6.18E-04 -5.64E-05 Average N.A. -0.0207 -0.0148 -0 .0020 -0.0014 -0.0010 Ho: For All Years, Impulse Response = 0 (χ 2 26 ). N.A. 46.1225*** 33.6867 16.4196 12.3209 10.4094 Note: *, **, and *** = significant at the 90%, 95%, and 99% confidence levels, respectively. N.A. = not applicable.