報告人:林書禎
報告日期:2015/12/30
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Introduction
Literature review
Methodology
Conclusions
• This paper primarily examines whether there is
a relationship between the stock market and
three specific weather variables such as the
temperature, humidity, and sunshine
duration, using the Shanghai A- and B-share
indexes
• Sunshine : Saunders , Hirshleifer and Shumway ,
Kamstra, Kramer and Levi , Garrett, Kamstra and
Kramer
• Multiple weather effect : Keef and Roush ,
Dowling and Lucey , Keef and Roush and Cao and
Wei , Chang et , Yoon and Kang
• No weather effect: Trombley, Jacobsen and
Marquering , Krämer and Runde , Pardo and Valor ,
Tufan and Hamarat
The weather effect exists in the A-share
returns, but it does not exist in the B-share
returns over the whole period.
This finding suggests that the existence of
weather effect raises questions about the
validity of EMH in Chinese stock markets, and
that incorporating weather variables into asset
pricing models may be useful to understand the
dynamics of Chinese stock markets.
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