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

Time Paths of Weather-Induced Mood Effects on Stock Returns 70 good weather. This behavior can be explained by higher opportunity costs to these investors for paying attention to stock markets on the days with good, rather than bad, weather. So, in addition to weather-induced mood, weather effects could also be due to investor attention. Inattentive investors delay the price adjustment process, which lead to positive autocorrelation of asset returns (Dehaan et al., 2017). The findings in this study neither reject nor support weather-induced attention effects. The study focuses on the relationship of weather with stock returns. 6. Conclusion The results in this study suggest that weather-induced mood effects exist in the Thai stock market. The effects are permanent and are indirectly caused by the indirect Friedman and create-space effects rather than the direct price adjustment process. The results are robust with respect to the choices for estimation samples and the inclusion of seasonal control variables. Further investigation reveals that the influential weather variables are air pressure and wind speed; both local individuals and institutional investors are weather- sensitive, and due to their much larger trading shares, the individual investors are dominant and determine the time paths of return responses to weather. The time behaviors of weather effects support the behavioral finance view of asset pricing. Their implications are useful for trading strategies, asset pricing, and government policy formation.