季節性與天氣對台灣股票型基金報酬的影響;Effects of Seasonality and Weather on the Returns of Equity Mutual Funds in Taiwan

NCUIR > School of Management at National Central University > Graduate Institute of Business Administration > Electronic Thesis & Dissertation > Item 987654321/94869

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/94869

Title:	季節性與天氣對台灣股票型基金報酬的影響;Effects of Seasonality and Weather on the Returns of Equity Mutual Funds in Taiwan
Authors:	朱恆希;Chu, Heng-Hsi
Contributors:	企業管理學系
Keywords:	季節性;股票型基金;降雨;日照;雲層覆蓋;seasonality;equity funds;rainfall;sunshine;cloud cover
Date:	2024-07-12
Issue Date:	2024-10-09 15:34:50 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究將基金市場溢酬定義為基金月報酬與台灣加權股價指數月報酬之差額並探討了台灣股票型基金市場溢酬的季節性現象，同時檢視了高頻降雨、高雲層覆蓋率及低日照等天氣因素對基金市場溢酬的影響。研究揭示出在每個季度的第二個月也就是每年的二、五、八和十一月份，基金的平均月報酬顯著高於同期台灣加權股價指數的報酬，這反映了台灣股票型基金市場中的季節性現象。為了深入了解在控制季節效應後基金市場溢酬是否受其他因素影響，本研究以2010年1月至2023年12月的168個月定義為全樣本期間，同時分出2020年1月至2022年12月為疫情子期間。研究發現，在考慮季節性後，上述天氣變數在全樣本期間對基金市場溢酬無顯著影響，這可能指出過去文獻中提到天氣對報酬有顯著影響，是由於未控制此季節效應所致。然而，在疫情期間的子樣本分析中，本研究發現在低日照月份會有顯著為負的基金市場溢酬，而高頻降雨月分則有顯著為正的基金市場溢酬。;This study defines the fund market spread as the difference between the monthly returns of funds and the Taiwan Stock Exchange Capitalization Weighted Stock Index monthly returns, and investigates the seasonality phenomenon in Taiwan′s equity fund market. It also examines the impact of weather factors such as high-frequency rainfall, high cloud cover, and low sunshine on the fund market spread. The research reveals that in the second month of each quarter, specifically in February, May, August, and November, the average monthly returns of funds are significantly higher than the returns of the Taiwan Stock Exchange Capitalization Weighted Stock Index during the same period. This reflects a seasonality phenomenon in Taiwan′s equity fund market. To understand whether the fund market spread is influenced by other factors after controlling for seasonality, the study defines the entire sample period from January 2010 to December 2023, with a sub-sample period from January 2020 to December 2022 to account for the pandemic. The study finds that, after considering seasonality, the aforementioned weather variables do not have a significant impact on the fund market spread during the full sample period. This may indicate that previous literature suggesting significant effects of weather on returns may have overlooked the control for seasonality. However, in the sub-sample analysis during the pandemic period, the study finds that months with low sunshine have significantly negative fund market spreads, while months with high-frequency rainfall have significantly positive fund market spreads.
Appears in Collections:	[Graduate Institute of Business Administration] Electronic Thesis & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	55	View/Open

社群 sharing

Loading...