在這篇研究中，我們探討天氣誘發情緒與指數期貨交易行為之間的關係。 我們發現天氣變量會影響國內投資者的委託單積極性，會傾向用較高的委託價與使用較多的市價單，這效果對於散戶投資人最為明顯。除此之外，我們的研究發現天氣引發的情緒影響交易行為，進而影響後續的交易表現，利用各帳戶的交易行為受天氣影響的程度，對天氣變化越敏感的散戶投資人後續交易績效越差，然而散戶當沖交易者卻不受影響。 我們還發現天氣變量和散戶投資者在天氣條件好時傾向買多於賣。 這些發現與心理學家提出的觀點相一致，即良好的天氣條件會產生正向的情緒，而正向的情緒進而影響交易行為。

In this study, we investigate the relationship between weather-induced moods and index futures trading behaviors. We find that weather variables exclusively influence the order aggressiveness of domestic investors, particularly for individual traders. Furthermore, we show that weather-induced moods influence trading behaviors, which in turn affect subsequent trading performance. We also find that a significant relationship between individual investor purchases relative to sales and weather variables. These results are consistent with the concept, suggested in psychology scholarship, that pleasant weather conditions produce positive human sentiments.

國立中山大學研究生學位論文審定書 i
誌謝 ii
摘要 iiii
Abstract iv
Table of Contents v
List of Tables vi
1. Introduction 1
2. Literature review 6
3. Data and methodology 9
3.1 Main data sources 9
3.1.1 Institutional background of the Taiwan futures market and futures data 9
3.1.2 Weather data 11
3.2 Trading measurement 12
3.2.1 Trading aggressiveness measures 12
3.3 Empirical methodology 14
4. Empirical results 16
4.1 Summary statistics and regression results 16
4.2 Trading performance for weather sensitive traders 18
4.3 Additional analyses: excess buy and trade variables 22
4.4 Robustness checks 25
5. Conclusion 28
Reference 30

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