摘要
在影响投资者心理的诸多因素中,天气是比较常见的一种。通过采用天气指标对中国股票市场收益率、波动率和换手率进行多元线性回归与牛、熊市分样本回归,研究天气对中国股市的影响。实证结果表明,在A股市场中,湿度、能见度和风速对股票市场的影响显著,且影响程度与β系数正相关;天气对机构投资者和个人投资者的影响的差异显著;天气对中国股票市场的波动率和换手率的影响在熊市中更为显著,并对收益率的影响在牛、熊市中正好方向相反、大小近似相等。此外,考虑多个城市后的天气的影响更为显著。
Weather is a common factor that affects investors'psychology.In this paper,we study the impact of weather on Chinese stock market by means of multiple linear regression of the stock market return,volatility and turnover rate with the weather index,and the regression analysis of bull and bear markets.The empirical results show that in the A-stock market,the influence of humidity,visibility and wind speed on the stock market is significant,and the influence degree and the beta coefficient is positively related to differences in weather;impact on institutional investors and individual investors significantly;influence of weather on China's stock market volatility and turnover rate in the bear market is more significant,and is approximately equal to the influence of yield in cattle,in just the opposite direction,the size of the bear market.In addition,the impact of weather is more significant after considering multiple cities.
作者
李占风
段满福
李丹
LI Zhan-feng;DUAN Man-fu;LI Dan(School of Statistics and Mathematics,Zhongnan University of Economics and Law,Wuhan 430073,China;School Finance,Zhongnan University of Economics and Law,Wuhan 430073,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2018年第10期34-42,共9页
Journal of Statistics and Information
关键词
天气
股票市场
多元回归
行为金融
weather
stock market
multiple regression
behavioral finance
