中国股票市场天气效应的实证研究

本文采用多元线性回归、Logit回归和交易策略等方法研究了天气因素对指令驱动的股票市场日内交易情况的作用机制。分析表明,除温度和极端天气外,包括云层覆盖率在内的其他天气指标对股票收益没有影响,说明投资者情绪波动不会导致资产定价的失衡;天气指标和季节性情绪紊乱因素对市场换手率和波动率等交易行为却具有显著影响,验证了投资者情绪影响决策并不等价于情绪影响资产定价的观点。

Empirical Study on Weather Effect in Chinese Stock Market

This paper uses multiple linear regression,Logit regression and trading strategy to study the influence of weather on intraday trading activities of order-driven stock market.The analysis shows that except temperature and extreme weather,many weather indicators including cloud cover have little effect on pricing of stocks.On the other hand,the fact that weather and Seasonal Affective Disorder have heavy influences on turnover and volatility supports the view that feelings influencing investor decision-makin...