臺灣博碩士論文加值系統

As one of emerging market, Indonesia has successfully shows a positive growth within this last 3 years. On its rapid growth and development, we are investigating Indonesia Stock Exchange (IDX) towards influence from the weather. Given the weather as mood proxy that can influence investor behavior on making investment decision, we analyze the weather variables; cloud cover, rainfall precipitation and temperature, effect on Indonesia stock market returns and volatility. After running single and multiple linear regression model we are convinced that temperature has positive influence towards Indonesia stock market returns. Meanwhile, through GJR-GARCH(1,1) model, we found a significant negative influence from rainfall precipitation towards Indonesia stock market volatility. After all, our research provide better scholarly understanding towards weather effect on stock returns and volatility, especially on Indonesia stock market. However, the findings are needed more attention in order to take it as a consideration for trading strategy.

ACKNOWLEDGMENT I
ABSTRACT II
TABLE OF CONTENTS III
LIST OF TABLES VI
LIST OF FIGURES VIII
CHAPTER ONE INTRODUCTION 1
1.1 Research Motivation. 1
1.2 Research Background. 2
1.2.1 Indonesia Industries Profile. 6
1.3 Research Contribution. 7
1.4 Research Structure. 9
CHAPTER TWO LITERATURE REVIEW 11
2.1 Weather as Mood Proxy. 11
2.2 Weather, Stock Returns and Volatility. 17
2.2.1 Cloud Cover. 17
2.2.2 Rainfall Precipitation. 20
2.2.3 Temperature. 21
2.2.4 Other Weather Variables and Argumentation. 22
2.3 Seasonality and Stock Returns. 24
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY 30
3.1 Research Data. 30
3.1.1 Indonesia Stock Indices and Individual Company Stock. 33
3.1.2 Weather Variables. 37
3.2 Econometric Model. 38
3.2.1 Weather Effect and Stock returns. 39
3.2.2 Weather Effect and Stocks Volatility. 43
CHAPTER FOUR RESEARCH RESULTS 45
4.1 Descriptive Statistics. 45
4.1.1 Indonesia Stocks Indices. 45
4.1.2 Weather Variables. 49
4.2 Weather Effects and Indonesia Stocks Returns Linear Regression Model. 52
4.2.1 Single Linear Regression. 52
4.2.2 Robustness Check of Weather Effects on Indonesia Stock market Return. 55
4.2.3 Robustness Check of Weather Effects on Indonesia Stock market Return with Seasonal Effect. 58
4.2.4 Weather Effect on Indonesia Individual Company Stock Returns. 61
4.2.5 Weather Effect from Different Cities Towards Indonesia Stock Returns. 74
4.3 Weather Effects and Indonesia Stocks Volatility. 77
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 80
5.1 Weather Effect on Indonesia Stocks Returns. 80
5.1.1 Weather Effect on Big Capitalization Stocks and Industrial Sectors. 81
5.1.2 Weather Effect on Individual Company. 83
5.2 Weather Effect on Indonesia Stocks Volatility 83
5.3 Weather Effect and Making Profit on Indonesia Stock market. 84
5.4 Contributions and Suggestions. 85
REFERENCES 87
APPENDICES 91
Appendix 1: Weather Induced Mood. 91
Appendix 2: Weather as Mood Proxy. 99
Appendix 3: Seasonal Effect. 110

Badan Pusat Statistik. (2011). Data Strategis BPS. Retrieved May 3, 2012. from http://www.bps.go.id/65tahun/data_strategis_2011.pdf.
Barker, A., Hawton, K., Fagg, J., ＆ Jennison, C. (1994). Seasonal and weather factors in parasuicide. The British Journal of Psychiatry, 165(3), 375-380.
Baur, R. F., ＆ Orazem, P. F. (1994). The rationality and price effects of US Department of Agriculture forecasts of oranges. Journal of Finance, 49(2), 681-695.
Bayong, T. J. H. K. (2004). Klimatologi. Bandung: Penerbit ITB.
Bethel, J. (1925). An experimental investigation of the influence of certain weather conditions upon short periods of mental work. The American Journal of Psychology, 36(1), 102-112.
Białkowski, J., Etebari, A., ＆ Wisniewski, T. P. (2011). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking ＆ Finance, 36(3), 835-845.
Brahmana, R. K., Hooy, C. W., ＆ Ahmad, Z. (2011). Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia. Journal of Bioeconomics, 1-18.
Bruyneel, S., Dewitte, S., Franses, P. H., ＆ Dekimpe, M. G. (2005). Why consumers buy lottery tickets when the sun goes down on them. The depleting nature of weather-induced bad moods [Working Paper]. Erasmus Research Institute of Management (ERIM).
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, T., Nieh, C. C., Yang, M. J., ＆ Yang, T. Y. (2006). Are stock market returns related to the weather effects? Empirical evidence from Taiwan. Physica A: Statistical Mechanics and its Applications, 364(2006), 343-354.
Clark, M. S., ＆ Waddell, B. A. (1983). Effects of moods on thoughts about helping, attraction and information acquisition. Social Psychology Quarterly, 46(1), 31-35.
Cohn, E. G. (1990). Weather and crime. British Journal of Criminology, 30(1), 51-64.
Connolly, M. (2008). Here comes the rain again: Weather and the intertemporal substitution of leisure. Journal of Labor Economics, 26(1), 73-100.
Daskalakis, G., Symeonidis, L., ＆ Markellos, R. (2009). Does the weather affect stock market volatility? Finance Research Letters, 7(2010), 214-223.
Denissen, J. J. A., Butalid, L., Penke, L., ＆ van Aken, M. A. G. (2008). The effects of weather on daily mood: A multilevel approach. Emotion, 8(5), 662-667.
Dowling, M., ＆ Lucey, B. M. (2005). Weather, biorhythms, beliefs and stock returns--Some preliminary Irish evidence. International Review of Financial Analysis, 14(3), 337-355.
Dowling, M., ＆ Lucey, B. M. (2008a). Mood and UK equity pricing. Applied Financial Economics Letters, 4(4), 233-240.
Dowling, M., ＆ Lucey, B. M. (2008b). Robust global mood influences in equity pricing. Journal of Multinational Financial Management, 18(2), 145-164.
Eisinga, R., Franses, P. H., ＆ Vergeer, M. (2011). Weather conditions and daily television use in the Netherlands, 1996–2005. International Journal of Biometeorology, 55(4), 1-10.
Elsbach, K. D., ＆ Barr, P. S. (1999). The effects of mood on individuals' use of structured decision protocols. Organization Science, 10(2), 181-198.
Elton, E. J., Gruber, M. J., Brown, S. J., ＆ Goetzmann, W. N. (2009). Modern portfolio theory and investment analysis (8 ed.). New York CIty: Wiley.
Fleming, J., Kirby, C., ＆ Ostdiek, B. (2006). Information, trading, and volatility: Evidence from weather sensitive markets. The Journal of Finance, 61(6), 2899-2930.
Forgas, J. P. (2007). When sad is better than happy: Negative affect can improve the quality and effectiveness of persuasive messages and social influence strategies. Journal of Experimental Social Psychology, 43(4), 513-528.
Forgas, J. P., ＆ East, R. (2008). On being happy and gullible: Mood effects on skepticism and the detection of deception. Journal of Experimental Social Psychology, 44(5), 1362-1367.
Forgas, J. P., Goldenberg, L., ＆ Unkelbach, C. (2009). Can bad weather improve your memory? An unobtrusive field study of natural mood effects on real-life memory. Journal of Experimental Social Psychology, 45(1), 254-257.
Gardner, M. P. (1985). Mood states and consumer behavior: A critical review. Journal of Consumer Research, 12(December), 281-300.
Garrett, I., Kamstra, M. J., ＆ Kramer, L. A. (2005). Winter blues and time variation in the price of risk. Journal of Empirical Finance, 12(2), 291-316.
Gerlach, J. R. (2007). Macroeconomic news and stock market calendar and weather anomalies. Journal of Financial Research, 30(2), 283-300.
Goetzmann, W. N., ＆ Zhu, N. (2005). Rain or shine: Where is the weather effect? European Financial Management, 11(5), 559-578.
Goodfellow, C., Schiereck, D., ＆ Verrier, T. (2010). Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets. International Review of Financial Analysis, 19(2), 77-80.
Gujarati, D. N. (2004). Basic econometrics (4 ed.). Noida: Tata McGraw Hill.
Hesse, F. W., Kauer, G., ＆ Spies, K. (1997). Effects of emotion-related surface similarity in analogical problem solving. The American Journal of Psychology, 110(3), 357-383.
Hirshleifer, D., ＆ Shumway, T. (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009-1032.
Huibers, M. J. H., de Graaf, L. E., Peeters, F. P. M. L., ＆ Arntz, A. (2010). Does the weather make us sad? Meteorological determinants of mood and depression in the general population. Psychiatry Research, 180(2-3), 143-146.
Indonesia Stock Exchange [IDX]. (2011). Entering New Frontiers Beyond Expectations (Annual Report). Jakarta: PT Bursa Efek Indonesia.
Jacobsen, B., ＆ Marquering, W. (2008). Is it the weather? Journal of Banking ＆ Finance, 32(4), 526-540.
Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45(3), 881-898.
Kämpfer, S., ＆ Mutz, M. (2011). On the sunny side of life: Sunshine effects on life satisfaction. Social Indicators Research, 1-17.
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.
Kang, S. H., Jiang, Z., Lee, Y., ＆ Yoon, S. M. (2010). Weather effects on the returns and volatility of the Shanghai stock market. Physica A: Statistical Mechanics and its Applications, 389(1), 91-99.
Keef, S. P., ＆ Roush, M. L. (2005). Influence of weather on New Zealand financial securities. Accounting ＆ Finance, 45(3), 415-437.
Keef, S. P., ＆ Roush, M. L. (2007). Daily weather effects on the returns of Australian stock indices. Applied Financial Economics, 17(3), 173-184.
Keim, D. B., ＆ Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. Journal of Finance, 819-835.
Keller, M. C., Fredrickson, B. L., Ybarra, O., Côté, S., Johnson, K., Mikels, J., et al. (2005). A warm heart and a clear head. Psychological Science, 16(9), 724-731.
Lambert, G., Reid, C., Kaye, D., Jennings, G., ＆ Esler, M. (2003). Increased suicide rate in the middle-aged and its association with hours of sunlight. The American Journal of Psychiatry, 160(4), 793-795.
Lemon, J. S. (1894). Psychic effects of the weather. The American Journal of Psychology, 6(2), 277-279.
Levy, O., ＆ Galili, I. (2008). Stock purchase and the weather: Individual differences. Journal of Economic Behavior ＆ Organization, 67(3-4), 755-767.
Loewenstein, G. F., Weber, E. U., Hsee, C. K., ＆ Welch, N. (2001). Risk as feelings. Psychological Bulletin, 127(2), 267.
Lu, J., ＆ Chou, R. K. (2011). 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.
Lucey, B. M., ＆ Dowling, M. (2005). The role of feelings in investor decision making. Journal of Economic Surveys, 19(2), 211-237.
MetOffice. (2011). Fact sheet No. 3 – Water in the atmosphere. London: Met Office.
Murray, K. B., Di Muro, F., Finn, A., ＆ Popkowski Leszczyc, P. (2010). The effect of weather on consumer spending. Journal of Retailing and Consumer Services, 17(6), 512-520.
Pardo, A., ＆ Valor, E. (2003). Spanish stock returns: Where is the weather effect? European Financial Management, 9(1), 117-126.
Preti, A. (1998). The influence of climate on suicidal behaviour in Italy. Psychiatry Research, 78(1-2), 9-19.
Robotti, C., ＆ Krivelyova, A. (2003). Playing the field: Geomagnetic storms and the stock market (Working Paper). Georgia, Atlanta: Federal Reserve Bank of Atlanta.
Rosen, L. N., Targum, S. D., Terman, M., Bryant, M. J., Hoffman, H., Kasper, S. F., et al. (1990). Prevalence of seasonal affective disorder at four latitudes. Psychiatry Research, 31(2), 131-144.
Saha, A., Malkiel, B., ＆ Grecu, A. (2009). The clustering of extreme movements: Stock prices and the weather. Journal of Investment Management(2009), 20-35.
Sanders, J. L., ＆ Brizzolara, M. S. (1982). Relationships between weather and mood. The Journal of General Psychology, 107(1), 155-156.
Saunders, E. M. (1993). Stock prices and Wall Street weather. The American Economic Review, 83(5), 1337-1345.
Schneider, F. W., Lesko, W. A., ＆ Garrett, W. A. (1980). Helping behavior in hot, comfortable, and cold temperatures. Environment and Behavior, 12(2), 231-240.
Schwarz, N., ＆ Clore, G. L. (1983). Mood, misattribution, and judgments of well-being: Informative and directive functions of affective states. Journal of Personality and Social Psychology, 45(3), 513-523.
Shu, H. C., ＆ Hung, M. W. (2009). Effect of wind on stock market returns: Evidence from European markets. Applied Financial Economics, 19(11), 893-904.
Sun, Q., ＆ Tong, W. H. S. (2010). Risk and the January effect. Journal of Banking ＆ Finance, 34(5), 965-974.
Thayer, R. E. (1990). The biopsychology of mood and arousal. New York City: Oxford University Press USA.
Tohari, A. (1994). Tugas akhir - Pengaruh ketinggian tempat (topografi) terhadap curah hujan dan distribusi tipe iklim di daerah priangan. Unpublished Thesis. Institut Teknologi Bandung.
Tsai, J. F., ＆ Cho, W. C. (2011). Temperature change dominates the suicidal seasonality in Taiwan: A time-series analysis. Journal of Affective Disorders, 136(3), 412-418.
Yoon, S. M., ＆ Kang, S. H. (2009). Weather effects on returns: Evidence from the Korean stock market. Physica A: Statistical Mechanics and its Applications, 388(5), 682-690.
Yuan, K., Zheng, L., ＆ Zhu, Q. (2006). Are investors moonstruck? Lunar phases and stock returns. Journal of Empirical Finance, 13(1), 1-23.
Zadorozhna, O. (2009). Does weather affect stock returns across emerging markets? Unpublished Thesis. Kyiv School of Economics.