Study on Weather Effect of China's Stock Index Returns
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摘要: 以深、沪两市1997~2002年间主要指数的日收益为样本,考察了沪深两市天气与股指日收益 的关系。结果表明,日照与股指收益存在稳定而显著的相关性,但基于天气效应的投资策略 能产生统计上显著而经济上较温和的组合夏普比例提高,仅对低交易费用的交易者是有利可 图的。以上结论难以用完全理性的价格行为来解释。Abstract: Sampling the daily market index returns on stock market in the cities of Shang- hai and Shen-zhen from 1997 to 2001, this paper examines the relationship betw een the weather effect and the daily returns. The survey reveals that sunshine i s closely correlated to market returns. Considering that the investment strategy can yield an economically mild sharp statistic increase, substantial applicati on of weather-effect strategies is only profitable to dealers with low transact ion expense,which is difficult to interpret within a fully rational price setti ng.
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Keywords:
- financial market /
- market index returns /
- weather effe ct
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