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

Time Paths of Weather-Induced Mood Effects on Stock Returns 60 Table 3 Impulse Responses of the Variance to One Standard Deviation Shock of the Weather ’ s Fourth Principal Component Year Lag Impulse Response (Day) 0 1 2 3 4 1992 1 0.6038*** 0.2050** 0.0803 0.0283 0.0094 1993 1 0.1144** 0.1414*** 0.0796** 0.0415* 0.0212 1994 1 0.0267 0.0064 0.0025 9.14E-04 3.06E-04 1995 1 0.0291 0.0097 0.0000 -0.0010 -5.80E-04 1996 1 -0.0444 -0.0347 -0.0059 -8.89E-04 -1.26E-04 1997 1 -0.0814 -0.0392 -0.0174 -0.0068 -0.0024 1998 1 -0.2340*** -0.0366 0.0069 0.0066 0.0027 1999 1 0.1146* 0.0349 0.0104 0.0034 0.0013 2000 1 0.0115 -0.0107 -0.0046 -0.0018 -6.51E-04 2001 1 0.0637 0.0465 0.0306 0.0160 0.0075 2002 1 -0.0475 -0.0035 0.0040 0.0016 4.53E-04 2003 1 0.0570 -0.0163 -0.0052 -7.23E-04 6.74E-05 2004 1 -0.0502 -0.0878* -0.0558* -0.0281* -0.0136 2005 1 -0.0251 0.0357 0.0064 0.0011 1.83E-04 2006 1 -0.0026 -0.0078 -0.0018 -1.17E-04 -8.56E-06 2007 1 -0.0336 -0.0246 -0.0047 -5.90E-04 -3.53E-05 2008 1 0.0657 -0.0339 0.0098 0.0071 0.0030 2009 1 -0.0243 0.0097 0.0142 0.0033 7.83E-04 2010 1 -0.0378 -0.0476 -0.0113 -0.0019 -2.85E-04 2011 1 -0.0469 -0.0520 -0.0042 0.0015 6.86E-04 2012 1 0.0047 0.0225 7.74E-05 1.24E-04 2.76E-07 2013 1 0.0049 -0.0138 0.0014 8.61E-04 1.17E-04 2014 1 0.0256 0.0213 0.0117 0.0033 8.34E-04 2015 1 -0.0127 0.0075 0.0098 0.0034 0.0011 2016 1 -0.0162 -0.0222 -0.0003 0.0017 0.0011 2017 1 -0.0090 0.0083 0.0042 0.0011 1.68E-04 Average N.A. 0.0175 0.0046 0.0062 0.0031 0.0013 Ho: For All Years, Impulse Response = 0 (χ 2 26 ). N.A. 74.8944*** 24.5088 18.9733 15.2819 12.1847 Ho: For All Years, Absolute Correlation = 0 ( = 1 ). (χ 2 26 ). N.A. N.A. N.A. N.A. N.A. N.A. Note: *, **, and *** = significant at the 90%, 95%, and 99% confidence levels, respectively. N.A. = not applicable.