博碩士論文 etd-0630118-004751 詳細資訊


[回到前頁查詢結果 | 重新搜尋]

姓名 莊逸偉(Yi-Wei Chuang) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 博士(Ph.D.) 畢業時期 106學年第2學期
論文名稱(中) 天氣對投資者交易行為的影響:來自台灣期貨交易所的證據
論文名稱(英) The Impact of Weather on Investors’ Trading Behavior: Evidence from the Taiwan Futures Exchange
檔案
  • etd-0630118-004751.pdf
  • 本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
    論文使用權限

    紙本論文:5 年後公開 (2023-07-30 公開)

    電子論文:使用者自訂權限:校內 5 年後、校外 5 年後公開

    論文語文/頁數 英文/62
    統計 本論文已被瀏覽 5571 次,被下載 0 次
    摘要(中) 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。
    摘要(英) 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.
    關鍵字(中)
  • 委託單積極度
  • 日內交易行為
  • 心情
  • 天氣
  • 關鍵字(英)
  • Order aggressiveness
  • Intraday trading activity
  • Mood
  • Weather
  • 論文目次 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
    參考文獻 Bassi, A., Colacito, R., & Fulghieri, P. (2013). ’O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions. Review of Financial Studies, Bagozzi, R. P., Gopinath, M., & Nyer, P. U. (1999). The role of emotions in marketing. Journal of the Academy of Marketing Science, 27(2), 184-206.
    Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299.
    Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2009). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.
    Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.
    Bassi, A., Colacito, R., & Fulghieri, P. (2013). ’O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions. Review of Financial Studies, 26(7), 1824-1852.
    Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of Banking & Finance, 29(6), 1559-1573.
    Chang, S. C., Chen, S. S., Chou, R. K., & Lin, Y. H. (2008). Weather and intraday patterns in stock returns and trading activity. Journal of Banking & Finance, 32(9), 1754-1766.
    Chang, S. C., Chen, S. S., Chou, R. K., & Lin, Y. H. (2012). Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis. Journal of Empirical Finance, 19(3), 309-318.
    Cheng, T. Y., Lee, C. I., & Lin, C. H. (2013). An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions. Journal of Empirical Finance, 21, 195-213.
    Chou, R. K., & Wang, Y. Y. (2011). A test of the different implications of the overconfidence and disposition hypotheses. Journal of Banking & Finance, 35(8), 2037-2046.
    Cunningham, M. R. (1979). Weather, mood, and helping behavior: Quasi experiments with the sunshine samaritan. Journal of Personality and Social Psychology, 37(11), 1947-1956.
    Ekman, P. D. (1992). Intraday patterns in the S&P 500 index futures market. Journal of Futures Markets, 12(4), 365-381.
    Fabozzi, F. J., Ma, C. K., Chittenden, W. T., & Pace, R. D. (1995). Predicting intraday price reversals. The Journal of Portfolio Management, 21(2), 42-53.
    Flanagan, J. C. (1954). The critical incident technique. Psychological bulletin, 51(4), 327-359.
    Fung, A. K. W., Mok, D. M., & Lam, K. (2000). Intraday price reversals for index futures in the US and Hong Kong. Journal of Banking & Finance, 24(7), 1179-1201.
    Goetzmann, W. N., & Zhu, N. (2005). Rain or shine: where is the weather effect? European Financial Management, 11(5), 559-578.
    Goetzmann, W. N., Kim, D., Kumar, A., & Wang, Q. (2015). Weather-Induced Mood, Institutional Investors, and Stock Returns. Review of Financial Studies, 28(1), 73-111.
    Grant, J. L., Wolf, A., & Yu, S. (2005). Intraday price reversals in the US stock index futures market: A 15-year study. Journal of Banking & Finance, 29(5), 1311-1327.
    Heyes, A., Neidell, M., & Saberian, S. (2016). The effect of air pollution on investor behavior: Evidence from the S&P 500 (No. w22753). National Bureau of Economic Research.
    Howarth, E., & Hoffman, M. S. (1984). A multidimensional approach to the relationship between mood and weather. British Journal of Psychology, 75(1), 15-23.
    Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
    Jacobsen, B., & Marquering, W. (2008). Is it the weather?. Journal of Banking & Finance, 32(4), 526-540.
    Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2000). Losing sleep at the market: The daylight saving anomaly. The American Economic Review, 90(4), 1005-1011.
    Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle. The American Economic Review, 93(1), 324-343.
    Kaustia, M., & Rantapuska, E. (2016). Does mood affect trading behavior? Journal of Financial Markets, 29, 1-26.
    Keller, M. C., Fredrickson, B. L., Ybarra, O., Côté, S., Johnson, K., Mikels, J., Conway, A., & Wager, T. (2005). A warm heart and a clear head: The contingent effects of weather on mood and cognition. Psychological Science, 16(9), 724-731.
    Koellinger, P., & Treffers, T. (2015). Joy leads to overconfidence, and a simple countermeasure. PloS one, 10(12), e0143263.
    Kramer, L. A., & Weber, J. M. (2012). This is your portfolio on winter: Seasonal affective disorder and risk aversion in financial decision making. Social Psychological and Personality Science, 3(2), 193-199.
    Kuhnen, C. M., & Knutson, B. (2011). The influence of affect on beliefs, preferences, and financial decisions. Journal of Financial and Quantitative Analysis, 46(03), 605-626.
    Kuo, W. Y., & Lin, T. C. (2013). Overconfident individual day traders: Evidence from the Taiwan futures market. Journal of Banking & Finance, 37(9), 3548-3561.
    Levy, O., & Galili, I. (2008). Stock purchase and the weather: Individual differences. Journal of Economic Behavior & Organization, 67(3), 755-767.
    Li, H. C., Lin, C. H., Cheng, T. Y., & Lai, S. (2013). How different types of traders behave in the Taiwan Futures Market. Journal of Futures Markets, 33(12), 1097-1117.
    Lo, A. W., & Repin, D. V. (2002). The psychophysiology of real-time financial risk processing. Journal of Cognitive Neuroscience, 14(3), 323-339.
    Loewenstein, G. F., Weber, E. U., Hsee, C. K., & Welch, N. (2001). Risk as Feelings. Psychological Bulletin, 127(2), 267-286.
    Loughran, T., & Schultz, P. (2004). Weather, stock returns, and the impact of localized trading behavior. Journal of Financial and Quantitative Analysis, 39(2), 343-364.
    Lu, J., & Chou, R. K. (2012). Does the weather have impacts on returns and trading activities in order-driven stock markets? Evidence from China. Journal of Empirical Finance, 19(1), 79-93.
    Meyer, S., & Pagel, M. (2017). Fresh air eases work–the effect of air quality on individual investor activity (No. w24048). National Bureau of Economic Research.
    Molin, J., Mellerup, E., Bolwig, T., Scheike, T., & Dam, H. (1996). The influence of climate on development of winter depression. Journal of Affective Disorders, 37(2), 151-155.
    Saunders, E. M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
    Schmittmann, J. M., Pirschel, J., Meyer, S., & Hackethal, A. (2015). The Impact of Weather on German Retail Investors. Review of Finance, 19(3), 1143-1183.
    Stoll, H. R., & Whaley, R. E. (1990). Stock market structure and volatility. Review of Financial Studies, 3(1), 37-71.
    Wegener, D. T., Petty, R. E., & Klein, D. J. (1994). Effects of mood on high elaboration attitude change: The mediating role of likelihood judgments. European journal of social psychology, 24(1), 25-43.
    Young, M. A., Meaden, P. M., Fogg, L. F., Cherin, E. A., & Eastman, C. I. (1997). Which environmental variables are related to the onset of seasonal affective disorder? Journal of Abnormal Psychology, 106(4), 554.
    口試委員
  • 張紹基 - 召集委員
  • 董澍琦 - 委員
  • 蕭育仁 - 委員
  • 謝文良 - 委員
  • 黃泓人 - 委員
  • 翁培師 - 指導教授
  • 蔡維哲 - 指導教授
  • 口試日期 2018-07-19 繳交日期 2018-07-30

    [回到前頁查詢結果 | 重新搜尋]


    如有任何問題請與論文審查小組聯繫