Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168700
Authors: 
Lee, Yuan-Ming
Wang, Kuan-Min
Year of Publication: 
2010
Citation: 
[Journal:] Amfiteatru Economic Journal [ISSN:] 2247-9104 [Volume:] 12 [Year:] 2010 [Issue:] 28 [Pages:] 606-633
Abstract: 
This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan’s stock market performance. The empirical finding of this study could be used to reconfirm the existence of the so-called sunshine effect. The empirical results suggest that the cloud cover has significantly negative impact on Taiwan’s stock market, especially in the low cloud cover periods. Moreover, we also examine the sunshine effect with the consideration of the first and second moments and find that when adding the two moments, the sunshine effect is not significant in the stock returns but in the stock return volatilities, which is different from outcomes in previous studies.
Subjects: 
behavior finance
stock returns
stock volatility
Sunshine effect
Threshold model
JEL: 
C22
G10
G12
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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