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研究生:伊魯曼
研究生(外文):Ilman NafianDarajat
論文名稱:The Weather Effect on Indonesia Stock Returns andVolatility
論文名稱(外文):The Weather Effect on Indonesia Stock Returns andVolatility
指導教授:楊曉瑩楊曉瑩引用關係
指導教授(外文):Ann Shawing Yang
學位類別:碩士
校院名稱:國立成功大學
系所名稱:國際經營管理研究所碩士班
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:114
外文關鍵詞:Indonesia Stock ExchangeStock returns and volatilityWeather effectMoodInvestor behaviorInefficient market
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  • 點閱點閱:124
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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

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