쳬웸믡펰쿬횸쇮쟽뚯막욱쫐뎡뗄 쫕틦뫍붻틗탐캪싰ꎿ* 슽뺲** ꎨ훘쟬듳톧뺭볃폫릤짌맜샭톧풺ꎬ훘쟬 400030ꎩ 햪 튪 놾컄닉폃뛠풪쿟탔믘맩ꆢLogit믘맩뫍붻틗닟싔뗈랽램퇐뺿쇋쳬웸틲쯘뛔횸쇮쟽뚯뗄막욱쫐뎡죕쓚붻틗쟩뿶뗄ퟷ폃믺훆ꆣ럖컶뇭쏷ꎬ돽컂뛈뫍벫뛋쳬웸췢ꎬ냼삨퓆닣뢲룇싊퓚쓚뗄웤쯻쳬웸횸뇪뛔막욱쫕틦쎻폐펰쿬ꎬ쮵쏷춶헟쟩탷늨뚯늻믡떼훂닺뚨볛뗄쪧뫢ꎻ쳬웸횸뇪뫍벾뷚탔쟩탷컉싒틲쯘뛔쫐뎡뮻쫖싊뫍늨뚯싊뗈붻틗탐캪좴뻟폐쿔훸펰쿬ꎬ퇩횤쇋춶헟쟩탷펰쿬뻶닟늢늻뗈볛폚쟩탷펰쿬닺뚨볛뗄맛뗣ꆣ?맘볼듊 쳬웸킧펦ꎻ벾뷚탔쟩탷컉싒ꎻ막욱쫐뎡ꎻ탐캪뷰죚 Does Weather have Impact on Returns and Trading Activities in Order Driven Stock Market? LU Jing (School of Economics and Business Administration, Chongqing University, Chongqing 400030) Abstract This paper uses multiple linear regression, logit regression and trading strategy to study the influence of weather on intraday trading activities of order-driven stock market. The analysis shows that except temperature and extreme weather, many weather indicators including cloud cover have little effect on pricing of stocks. On the other hand, the fact that weather and Seasonal Affective Disorder have heavy influence on turnover and volatility supports the view that feelings influencing investor decision-making does not necessarily equate to feelings having an effect on equity prices. Key Words Weather Effect Seasonal Affective Disorder Stock Market Behavioral Finance * 놾컄믱맺볒짧믡뿆톧믹뷰ꎨ뇠뫅ꎺ09BJL024ꎩ뫍훘쟬쫐ퟔ좻뿆톧믹뷰ꎨ뇠뫅ꎺ2009BB2042ꎩ훺ꆣ ** 슽뺲ꎨ-ꎩꎺ쓐ꎬ쯄뒨샖즽죋ꎬ훘쟬듳톧뺭볃폫릤짌맜샭톧풺뷰죚쾵뢱훷죎ꆢ뢱뷌쫚ꎬ늩쪿ꎬ솪쾵뗘횷ꎺ400030 훘쟬쫐즳욺냓쟸훘쟬듳톧뺭볃폫릤짌맜샭톧풺ꆣEmailꎺlujing@ꆣ퇐뺿랽쿲ꎺ놾쫐뎡캢맛뷡릹폫닺뚨볛ꎻ탐캪뷰죚ꆣ
쳬웸믡펰쿬횸쇮쟽뚯막욱쫐뎡뗄 쫕틦뫍붻틗탐캪싰ꎿ 햪 튪 놾컄닉폃뛠풪쿟탔믘맩ꆢLogit믘맩뫍붻틗닟싔뗈랽램퇐뺿쇋쳬웸틲쯘뛔횸쇮쟽뚯뗄막욱쫐뎡죕쓚붻틗쟩뿶뗄ퟷ폃믺훆ꆣ럖컶뇭쏷ꎬ돽컂뛈뫍벫뛋쳬웸췢ꎬ냼삨퓆닣뢲룇싊퓚쓚뗄웤쯻쳬웸횸뇪뛔막욱쫕틦쎻폐펰쿬ꎬ쮵쏷춶헟쟩탷늨뚯늻믡떼훂닺뚨볛뗄쪧뫢ꎻ쳬웸횸뇪뫍벾뷚탔쟩탷컉싒틲쯘뛔쫐뎡뮻쫖싊뫍늨뚯싊뗈붻틗탐캪좴뻟폐쿔훸펰쿬ꎬ퇩횤쇋춶헟쟩탷펰쿬뻶닟늢늻뗈볛폚쟩탷펰쿬닺뚨볛뗄맛뗣ꆣ?맘볼듊 쳬웸킧펦ꎻ벾뷚탔쟩탷컉싒ꎻ막욱쫐뎡ꎻ탐캪뷰죚? 1 틽퇔 뒫춳뷰죚샭싛죏캪ꎬ막욱쫐뎡쫇샭탔뗄쟒횻랴펳폫닺뚨볛폐맘뗄뺭볃탅쾢(S. Chang, Chen, Chou뫍Lin,2008)ꎬ춶헟퓚ퟶ돶뻶닟쪱횻힢훘뷡맻ꎬ벴냑룷훖뗃쪧폫돉놾뢳폨늻춬뗄좨훘ꎬ듓훐톡퓱ퟮ폅뗄럧쿕-쫕틦ퟩ뫏ꎬ헢튲쫇Markowitz (1952)ퟩ뫏춶샭싛폫Sharpe (1964)놾닺뚨볛샭싛뗄믹뒡ꆣLucey뫍Dowling (2005)죏캪ꎬ헢훖뷡맻떼쿲뗄맛뗣ꎨConsequentialist Perspectiveꎩ폫쿖쪵듦퓚닮뻠ꎬ틲캪쯼쎻폐뾼싇춶헟탄샭ퟷ폃죧쟩탷뛔뻶닟뗄펰쿬ꆣ뷼쓪살ꎬ쯦ퟅ탐캪뷰죚뗄랢햹ꎬ톧헟쏇랢쿖ꎬ탄샭틲쯘뛔폚죋쏇퓚뷰죚쫐뎡뗄붻틗뻶닟뫍붻틗탐캪뻟폐쿔훸펰쿬ꆣ듳솿뗄탄샭퇐뺿횤뻝뇭쏷ꎬ떱죋쏇탄쟩뷏뫃쪱ꎬ쯻쏇췹췹뛔캴살뗄움볛룼쟣쿲폚샖맛(Daniel, Hirshleifer뫍Subrahmanyam,1998; Hirshleifer,2001; Wright뫍Bower,1992)ꎬ뛔럧쿕뗄돐쫜쓜솦튲폐쯹볓잿ꆣSaunders (1993)뷏퓧횱뷓퇐뺿쇋쳬웸폫막욱쫕틦횮볤뗄맘쾵ꆣ쯻랢쿖ꎬ얦풼막욱붻틗쯹뗄막욱쫕틦폫싼맾뛙뗘쟸뗄퓆닣뢲룇뇈싊ꎨCloud Coverꎩ돊뢺쿠맘ꎬ튲벴쫇쮵떱뗘뗄퓆닣풽뛠ꎬ막욱쫕틦싊풽뗍ꆣSaunders (1993)뗄돉맻랢뇭뫳ꎬ솢벴틽웰쇋뮪뛻뷖뗄잿쇒랴쿬ꎬStecklow (1993)짵훁퓚ꆶ뮪뛻뷖죕놨ꆷ킴뗀ꎺ췼뗴튻퓂킧펦냉ꎬSaunders뷌쫚틑뺭헒떽쇋맛달막쫐헇뗸뗄룼뫃뗄횸뇪ꎬ쓣횻탨튪룸웸쿳첨듲룶뗧뮰컊튻컊뮪뛻뷖뗄쳬웸뻍탐쇋ꆣHirshleifer뫍Shumway (2003)쯦뫳폃26룶맺볒믲뗘쟸막욱붻틗쯹뗄쫽뻝튲횤쏷쇋퓆닣뢲룇뇈싊폫막욱쫕틦횮볤뗄뢺쿲맘쾵ꆣS. Chang, et al. (2008)뗄퇐뺿뮹랢쿖ꎬ쳬웸늻뷶펰쿬막쫐쫕틦ꎬ뮹펰쿬춶헟뗄붻틗탐캪ꎬ죧퓆닣뢲룇싊뛔막볛늨뚯싊뫍쫐뎡짮뛈뻹뻟폐뢺쿲ퟷ폃ꆣ좻뛸ꎬ틑폐뗄퇐뺿훷튪헫뛔랢듯뗄놾쫐뎡ꎬ헢킩뒫춳뗄ꆢ샺쪷폆뻃뗄놾쫐뎡뗄붻틗믺훆폫훐맺쓚뗘막욱붻틗쯹뗄붻틗믺훆폐뷏듳뗄늻춬ꎬ훷튪쳥쿖퓚막욱볛룱탎돉뗄랽쪽짏ꆣ죧얦붻쯹막욱볛룱뗄탎돉틔ퟶ쫐짌놨볛캪훷ꎬ본폚얦풼싼맾뛙뗘쟸벯훐쇋좫쟲뚥볢뗄뷰죚믺릹뫍춶헟ꎬ헢킩ퟶ쫐짌뗄냬릫뎡쯹튲벯훐퓚쿂싼맾뛙뢽뷼ꎬ틲듋ꎬퟶ쫐짌뗄싲싴놨볛탐캪쫜떽싼맾뛙쳬웸뗄펰쿬쫇죝틗샭뷢뗄ꆣ뛸헫뛔쇭튻훖막욱볛룱뗄탎돉믺훆——횸쇮쟽뚯붻틗쾵춳ꎬ짐좱랦쳬웸폫막욱붻틗횮볤맘쾵뗄퇐뺿ꆣ훐맺쓚뗘막욱붻틗쯹뗄붨솢뇈뷏췭ꎬ듓붨솢횮돵뻍좫쏦닉폃쇋뗧ퟓ뮯뗄횸쇮쟽뚯붻틗쾵춳ꎬ쎻폐ퟶ쫐짌ꎬ쯹폐싲싴놨볛뻹평춶헟춨맽뺭볍죋ꎨ횤좯릫쮾펪튵늿ꎩ쫤죫떽붻틗쯹뗄듩뫏쾵춳샯ꆣ틔짏몣횤좯붻틗쯹ꎨ틔쿂볲돆짏붻쯹ꎩ붻틗뗄막욱캪샽ꎬ횱맛짏뾴ꎬ싲싴뚩떥살ퟔ좫맺룷뗘ꎬ죧맻쳬웸뛔막욱붻틗뻟폐펰쿬뗄뮰ꎬ막욱붻틗랴펳뗄펦룃쫇좫맺룷뗘뗄쳬웸ힴ뿶ꆣ헢쿔좻쫇튻룶뢴퓓뗄ꆢ뷏쓑퇩횤뗄컊쳢ꆣ떫쫇ꎬ춨맽뛔짏붻쯹막욱붻틗뷰뛮뗄춳볆ꎬ컒쏇랢쿖죧맻내횤좯펪튵늿붻틗뷰뛮업쏻뗄뮰ꎬ평뗘뒦짏몣뗄횤좯펪튵늿랢웰뗄붻틗햼뻸뛔뛠쫽ꆣ룹뻝짏붻쯹2009쓪9퓂랢늼뗄ꆶ짏붻쯹춳볆퓂놨ꆷ쿔쪾ꎬ2009쓪1-8퓂ꎬ짏붻쯹막욱붻틗ퟜ뷰뛮캪227073틚풪ꎬ죧맻내횤 1
좯펪튵늿쯹뒦돇쫐업쏻ꎬ잰벸캻럖뇰쫇ꎺ짏몣36373틚풪ꎬ햼%ꎻ놱뺩28827틚풪ꎬ햼%ꎻ짮?20899틚풪ꎬ햼%ꎻ맣훝8121틚풪ꎬ햼%ꆣ쿔좻ꎬ짏몣뗄붻틗햼뻸듳뛠쫽ꎬ헢튲캪컒쏇퇐뺿쳬웸뛔횸쇮쟽뚯뗄막욱붻틗탐캪쫇럱닺짺펰쿬쳡릩쇋믹뒡ꆣ 컒쏇뗄퇐뺿뚯믺퓚폚틔쿂벸룶랽쏦ꎺꊡꎩ쯤좻T. Chang, Nieh, Yang뫍Yang (2006)ꎬS. Chang, et al. (2008)ꎬHirshleifer뫍Shumway (2003)뫍Saunders (1993)뗈럗럗헒떽쇋쳬웸틲쯘펰쿬랢듯놾쫐뎡뗄횤뻝ꎬ떫퓚탂탋놾쫐뎡ꎬ폈웤쫇횸쇮쟽뚯뗄놾쫐뎡ꎬ쫇럱튲듦퓚헢퇹뗄탄샭펰쿬ꎿꊢꎩ뺡맜쿖폐컄쿗횤쪵쇋쳬웸틲쯘뿉틔펰쿬닺뚨볛ꎨHirshleifer뫍Shumway,2003; Saunders,1993)ꎬ떫쯼뿉틔펰쿬쫐뎡쇷뚯탔뫍막볛늨뚯싊뗈붻틗탐캪싰ꎿꊣꎩSaunders (1993)뗄퇐뺿횻짦벰쇋쳬웸틲쯘훐뗄퓆닣뢲룇싊튻룶횸뇪ꎬ웤쯻틲쯘죧컂뛈ꆢ쪪뛈뫍럧쯙뗈쫇럱튲믡펰쿬춶헟뗄붻틗탐캪ꎿ틲듋ꎬ컒쏇붫릹퓬뛠뇤솿믘맩살럖컶쳬웸뛔막욱쫐뎡뗄ퟛ뫏펰쿬ꆣꊤꎩ맽좥뗄퇐뺿훷튪듓쳬웸뗄죕욽뻹횵럖컶쇋뛔막욱쫐뎡죕쫕틦싊뗄펰쿬ꎬ떫헽죧컒쏇쫬횪뗄“쳬웸뇤뮯컞뎣”ꎬ벴쪹퓚냗쳬ꎬ잰튻룶킡쪱뮹쫇쟧뿕췲샯ꎬ뷴뷓ퟅ뿉쓜뻍쫇샗폪붻볓ꆣ쯹틔ꎬ붫쳬웸횸뇪죕욽뻹뮯뗄랽램쯰쪧쇋듳솿뗄폐폃탅쾢ꆣ컒쏇붫틔킡쪱캪떥캻ꎬ퇐뺿쎿킡쪱뗄쳬웸횸뇪뛔막욱쫐뎡붻틗탐캪뗄펰쿬ꎬ솦춼듓룼캢맛뗄닣쏦뷒쪾쳬웸뛔뷰죚쫐뎡뗄ퟷ폃ꆣꊥꎩ폐맘훐맺막욱쫐뎡쫇럱쫜쳬웸펰쿬뗄퇐뺿럇뎣짙ꎬ쒿잰횻볬쯷떽솽욪(틇뒹쇖뫍췵볒,2005; 몫퓳쿘,2005)ꎬ뛸헢솽욪뚼횻뾼달쇋죕볤뗄욽뻹쫽뻝ꎬ쎻폐뛔죕쓚뗄룟욵쫽뻝뷸탐퇐뺿ꆣ 컒쏇뗄퇐뺿뇭쏷ꎬ뺡맜짏붻쯹뗄붻틗횸쇮늢럇뚼살ퟔ짏몣뗘쟸ꎬ떫짏몣떱뗘뗄쳬웸뗄좷뿉틔펰쿬횤좯쫐뎡ꎬ늻맽폫얷쏀랢듯횤좯쫐뎡늻춬뗄쫇ꎬ쳬웸뛔막욱뚨볛뗄ퟷ폃늻쏷쿔ꎬ뛸뛔쇷뚯탔뫍늨뚯싊뗈붻틗탐캪뗄펰쿬쪮럖쿔훸ꎬ퓚튻뚨돌뛈짏럡뢻쇋탐캪뷰죚쳘뇰쫇탄샭틲쯘뛔춶뻶닟펰쿬뗄퇐뺿돉맻ꆣ싛컄틔쿂뷡릹뗄낲업쫇ꎺ뗚뛾늿럖뷩짜폫쳬웸뫍춶헟쟩탷쿠맘뗄컄쿗ꎻ뗚죽늿럖쮵쏷쫽뻝살풴벰뒦샭랽쪽ꎻ뗚쯄늿럖짨볆퇐뺿랽램뫍쪵횤뷡맻럖컶ꎻퟮ뫳쫇뷡싛ꆣ 2 컄쿗믘맋 쳬웸폫죋샠믮뚯 쳬웸쫇죋샠삵틔짺듦뫍믮뚯뗄뮷뺳횮튻ꎬ쯼벫듳뗘훆풼ퟅ죋샠뗄룷쿮믮뚯ꆣ쳬웸뗄죎뫎쿔훸뇤뮯뚼믡룸죋샠듸살훘듳펰쿬ꎬ틲듋쫜떽죋쏇뗄맣랺맘힢(훜뫳뢣,1999)ꆣ죋샠퓚뎤웚뗄뷸뮯맽돌훐ꎬ뛔듳웸뇤뮯뻟폐쇋튻뚨뗄틅뒫쫊펦탔ꎬퟔ짭뻟놸폫쳬웸훜웚탔뇤뮯뗄짺샭뗷뷚믺쓜ꎬ헢훖믺쓜퓚튻뚨돌뛈짏폫웸뫲뇤뮯쫇쿠쫊펦뗄ꎬ떫뎬맽헢튻쿞뛈ꎬ죋쳥뻍믡뇭쿖늻쫊ꎬ짵훁돶쿖짋췶쿖쿳ꆣ듋췢ꎬ죎뫎쳬웸뗄뇤뮯뚼믡떼훂죋쏇믺쳥뫍탄샭벫캪뢴퓓뗄횱뷓뫍볤뷓랴펦ꆣ죋쳥룷늿캻뗄짱뺭룐맙뿉뷓쫜늻춬웸뫲틲쯘뗄듌벤ꎺꊡꎩ욤럴폫햳쒤뻟폐럡뢻뗄룐뻵웷맙ꎬ쓜룐쫜웸컂ꆢ쪪뛈ꆢ붵쮮ꆢ럧ꆢ첫퇴럸짤ꆢ듳웸쯡볮뛈뗈뗄듌벤ꎻꊢꎩ뫴컼뗀쓜룐쫜웸컂ꆢ쪪뛈ꆢ럧뗄뇤뮯ꎬ뛸럎엝뿉틔룐쫜듳웸뮯톧튪쯘뗄듌벤ꎻꊣꎩ룐뻵웷맙ꎬ죧쫓뻵뿉뷓쫜맢쿟뗄듌벤ꎬ뛺쓚톹솦룐쫜웷뷓쫜웸톹뇤뮯뗄펰쿬ꆣ죋쳥뛔쳬웸뇤뮯쯹닺짺뗄랴펦쫇믲뿬믲싽뗄짺샭뗷쫊맽돌ꎬ믺쳥돶쿖짺샭랴펦뗄쪱볤볤룴ꎬ좡뻶폚웸뫲튪쯘듌벤뗄돌뛈ꆢ룶쳥닮틬ꆢ탄샭ힴ첬뗈ꎬ늢ퟮ훕뇭쿖캪죋쏇쟩탷뗄뇤뮯뫍짺컯뷚ퟠ뗄컉싒ꆣCoren (1996)뗄춳볆뇭쏷ꎬ떱죋쳥뗄짺컯뷚ퟠ놻듲싒횮뫳ꎬ죝틗떼훂늻솼쫂맊ꆣ죧퓚1988쓪ꎬ좫쏀맺폫쮯쏟쿠맘뗄쫂맊쯰쪧뎬맽560틚쏀풪ꎬ떼훂4318죋쯀췶뫍2474430죋닐럏ꆣ웤쯻튻킩훘듳쫂맊죧쟐뛻억놴샻뫋뗧햾ꆢ쳴햽헟뫅몽쳬량믺쪧쫂뗈ꎬ튲폫떱쫂죋ꆢ맜샭헟뫍횸믓헟뗄짺샭뷚ퟠ쪧뗷폐맘(Coren,1996)ꆣSchwarz뫍Clore (1983)뗄뗷닩랢쿖ꎬ죋쏇퓚퇴맢쏷쏄뗄쳬웸훐뇈퓚틵폪쏠쏠뗄쳬웸훐믱뗃뗄싺틢뛈룼룟ꆣ믹폚듋ꎬ Roll (1992)퓚ꆶ탂엁뛻룱샗럲듇뗤ꎺ믵뇒폫뷰죚ꆷ훐맘폚쳬웸듊쳵폐헢퇹뗄쏨쫶ꎺꆰ쳬웸뗄좷쫇튻룶췢짺폚뺭볃쳥쾵뗄틲쯘ꆣꆭ퓚퓧웚뗄볆솿뺭볃톧컄쿗훐ꎬ쳬웸놻뾴ퟷ쫇뫜뫃뗄췢짺뇤솿ꆭ틲캪쳬웸볈쫇췢짺뗄폖쫇뿉틔놻횱뷓맛달떽뗄ꆭ쳬웸뛔폚움맀뷰죚쫐뎡뗄탅 2
쾢뒦샭쓜솦뿏뚨쫇폐폃뗄ꆣꆱ 쟩탷폫뻶닟 톧헟쏇뫜퓧뻍랢쿖ꎬ죋뗄쟩탷뫍룐뻵뗈탄샭틲쯘퓚뻶닟에뛏훐냧퇝쇋훘튪뷇즫(Cao뫍Wei,2005)ꆣ죧Isen (1993)랢쿖ꎬ떱죋쏇탄쟩뷏뫃뗄쪱뫲ꎬ쯻쏇믡볲뮯죏횪맽돌틔냯훺뻶닟ꆣHirshleifer뫍Shumway (2003)죏캪ꎬ헢훖죏횪맽돌튪쎴랴펳쇋폫뫃탄쟩쿠맘뗄죏횪좱쪧ꎬ튪쎴룼볓폐킧뗘볲뮯쇋뢴퓓탅쾢ꆣ쟩탷뗄탅쾢뒫떼볙쮵ꎨMood-as-information Hypothesisꎩ죏캪ꎬ벴쪹떼훂쟩탷뇤뮯뗄풭틲폫뻶닟쒿뇪뫁컞맘솪ꎬ쟩탷튲믡펰쿬뻶닟ꆣJohnson뫍Tversky (1983)뗄쪵퇩횤쏷쇋헢룶싛뛏ꆣ쯻쏇냑놻맛달헟럖캪솽ퟩꎬ뗚튻ퟩ쫂쿈퓄뛁쇋튻킩떼훂쟩탷뗍실뗄뢺쏦쿻쾢ꎬ뗚뛾ퟩ퓲쪲쎴튲쎻ퟶꎬ좻뫳헢솽ퟩ럖뇰뛔18훖뿉쓜떼훂쯀췶뗄럧쿕틲쯘업탲ꎬ뷡맻랢쿖뗚튻ퟩ뛔쯹폐럧쿕뛈뗄움에뚼룟폚뗚뛾ퟩꆣ퓚횤좯쫐뎡짏ꎬ퓧퓚튻냙뛠쓪잰ꎬNelson (1903)뻍횸돶ꎬ횤좯뺭볍죋맛달떽탄샭틲쯘뛔폚막욱붻틗럇뎣훘튪ꎬ틔훁폚춶믺헟퓚쏆죈뫍샗폪쳬웸훐쓑틔쿱퓚룉퓯뫍퇴맢쏷쏄뗄쳬웸샯쓇퇹ퟔ탅뗘뫍ퟔ평뗘붻틗ꎬ틲캪쳬웸ힴ뿶풽뫃ꎬ죋쏇풽쟣쿲폚샖맛뫍룟탋ꆣPetersen (1937)튲죏캪ꎬ쎿튻듎듳웸죅뚯뚼믡뛔죋탎돉튻뚨뗄듌벤ꎬ죧맻헢훖죅뚯랢짺뗄욵싊늻룟ꎬ죋쏇믡톸쯙믖뢴ꎻ죧맻랢짺욵싊뷏룟쟒돌뛈퇏훘ꎬ붫룸죋쏇듸살튻뚨뗄펰쿬ꎻ죧맻랢짺뗃벫뛋욵랱뫍퇏훘ꎬ죋쏇쫜떽맽뛈듌벤붫믡틗폚욣샍ꎬ짙쫽죋짵훁믡틲듋뛸즥짺ꆣ 막욱춶틀삵폚죋뗄훷맛에뛏ꎬ쯹틔죋쳥짺컯뷚ퟠ뗄컉싒붫믡뛔막욱뚨볛퓬돉튻뚨뗄펰쿬ꆣM. Kamstra, Kramer뫍Levi (2000)퇐뺿쇋평폚쿄쪱훆ꎨDaylight Saving Timeꎩ뗄쪱볤뗷헻쯹닺짺뗄쮯쏟틬쿠ꎨSleep Desynchronosisꎩ뛔막욱쫕틦뗄펰쿬ꆣ쯻쏇랢쿖ꎬ벴쪹뫜킡뗄쮯쏟컉싒튲믡떼훂춶헟에뛏쪧컳ꆢ붹싇ꆢ늻쓍랳ꆢ좱랦힢틢솦ꎬ짵훁탅쾢뒦샭뗄쪧킧뗈늻솼뫳맻ꆣ쯻쏇뾼달쇋쏀맺얦풼막욱붻틗쯹쫐뎡횸쫽ꆢ쓉쮹듯뿋횸쫽뫍쏀맺막욱붻틗쯹쫐뎡횸쫽ꎬ뛠싗뛠막욱붻틗쯹TSE300횸쫽ꎬ펢맺막욱쫐뎡횸쫽뫍뗂맺DAX100횸쫽뗈쫐뎡횸쫽뗄쫕틦싊ꎬ랢쿖퓚쎿쓪뒺쟯솽듎쿄쪱훆뮻맽돌훐ꎬ뮻룃훜훜쒩쫕틦싊퓚춳볆짏쏷쿔뗍폚헽뎣훜쒩뗄쫕틦싊ꎬ쮵쏷쮯쏟틬쿠뗄좷펰쿬쇋뷰죚쫐뎡뗄퓋탐ꆣ쯻쏇뗄퇐뺿뇭쏷ꎬ뷶뷶퓚쏀맺막욱쫐뎡ꎬ쎿쓪쿄쪱훆뮻떼훂뗄짏쫐릫쮾쫐횵쯰쪧룟듯310틚쏀풪ꎡ틲듋ꎬ쯻쏇붨틩헾닟훆뚨헟훘탂짳쫓쿄쪱훆뗄뫏샭탔ꎬ늢붨틩뛔막욱쫐뎡뗄죕쓚붻틗탐캪ퟷ룼쿪쾸뗄럖컶ꎬ헢튲헽쫇놾퇐뺿뗄돶랢뗣횮튻ꆣ 퓆닣뢲룇싊폫막쫐쫕틦 웹뷱캪횹ꎬ폐맘쳬웸폫막욱쫐뎡맘쾵훐퇐뺿뗃ퟮ뛠뗄쫇퓆닣뢲룇싊ꎨCloud Coverꎩ믲죕헕ꎨSunlightꎩ뗄펰쿬ꆣ죧Hirshleifer뫍Shumway (2003)쯹퇔ꎬ죋쏇퓚퇴맢쏷쏄뗄쪱뫲믡뇤뗃룼볓샖맛ꎬ쯻쏇뫜뿉쓜퓶볓춶막욱뗄쟣쿲ꆣ뺡맜듋쪱쯻쏇뿉쓜듭컳뗘냑뫃탄쟩맩틲폚믽벫뗄뺭볃틲쯘뛸늻쫇뫃쳬웸ꎬ떫헢튲낵쪾퇴맢쏷쏄폫막쫐쫕틦쫇헽쿠맘뗄ꆣSaunders (1993)닉폃듓죕돶떽죕실얦풼쫐훐탄훐퇫릫풰뢽뷼ꎨ룃캻훃ퟮ뷓뷼폚뮪뛻뷖뫍얦풼막욱붻틗쯹ꎩ맛닢떽뗄욽뻹퓆닣뢲룇싊ퟷ캪쳬웸뗄듺샭뇤솿ꎬ퇐뺿쇋1927-1989쓪뗀쟭쮹릤튵횸쫽뗄뗈좨벰볓좨죕쫕틦싊ꎬ쯻랢쿖퓆닣뢲룇싊뛔폚쫐뎡쫕틦싊뻟폐뢺쏦킧펦ꆣ뺡맜Saunders (1993)돐죏얦풼막욱붻틗쯹ꎨNYSEꎩ뗄붻틗뚩떥살ퟔ좫쏀맺ꎬ뚩떥쳡붻헟뗄쟩탷늻뿉쓜뚼쫜떽얦풼쳬웸뗄펰쿬ꎬ떫쯻죏캪ꎬ평폚얦풼떱뗘뗄ퟶ쫐짌뫍뺭볍죋뿉쓜펰쿬막욱뚨볛ꎬ쯹틔얦풼떱뗘뗄쳬웸뿉틔ퟷ캪훷튪쫐뎡닎폫헟쟩탷뗄듺샭뇤솿ꆣ뛔폚Saunders (1993)뗄퇐뺿ꎬ폐킩톧헟쳡돶쇋튻킩훊틉믲룄뷸ꆣ죧Loughran뫍Schultz (2004)죏캪ꎬNYSE뗄붻틗뚩떥쪵볊짏살ퟔ좫쏀맺쓋훁좫쟲ꎬ죧맻헢킩춶헟뚼틔ퟮ폅볛룱쳡붻뚩떥쟒춶헟뗄쟩탷쫜떽퓆닣뢲룇싊뗄펰쿬ꎬ쓇쎴얦풼떱뗘뗄쳬웸늻튻뚨쫇쫐뎡쟩탷뷏뫃뗄듺샭뇤솿ꆣ캪듋ꎬ쯻쏇틔짏쫐릫쮾힢닡쯹퓚뗘ꎨ틔25룶쏀맺듳훐돇쫐캪듺뇭ꎩ뗄쳬웸퇐뺿쇋NASDAQ짏쫐릫쮾죕쓚쫕틦싊뗄뇤뮯쟩뿶ꆣ웤풭틲퓚폚ꎬ튻랽쏦ꎬ폫NYSE뗄짏쫐릫쮾쿠뇈ꎬNASDAQ뗄짏쫐릫쮾맦쒣뷏킡ꎬ쟒훷튪쫜떽릫쮾힢닡 3
뗘뗄춶헟맘힢ꎬ뛸좫쏀맺놻죋캪럖돉뛠룶쪱쟸ꎬ떱NYSE퓧짏9:30뾪엌쪱ꎬ쿄췾틄쫇쇨뎿3:30ꎬ쿄췾틄뗄춶헟뮹퓚쮯쏎훐ꎬ쯹틔얦붻쯹뾪엌쪱ꎬퟜ늿짨퓚쿄췾틄뗄짏쫐릫쮾뗄막욱붻틗솿럇뎣쾡짙ꆣ쇭튻랽쏦ꎬ벫뛋뛱쇓뗄쳬웸죧놩럧톩튲믡펰쿬막쫐뗄쫕틦ꆣ죧맻놩럧톩랢짺퓚퓧짏ꎬ춶헟늻뗃늻당뾪믽톩ꆢ췚돶웻뎵ꎬ뮨럑룼뛠뗄쪱볤짏쿂냠ꎬ헢킩춶헟뻍쎻폐돤풣뗄쪱볤듓쫂막욱붻틗쇋ꆣ쫂쪵짏ꎬLoughran뫍Schultz (2004)랢쿖ꎬ놩럧톩떱쳬ꎬ룃힢닡뗘짏쫐릫쮾뗄막욱붻틗솿복짙쇋17%ꎬ뷓쿂살뗄뗚뛾쳬ꎬ막욱붻틗솿볌탸복짙쇋15%ꎡ헢튻랽쏦쮵쏷쳬웸뗄좷뛔막욱쫐뎡닺짺펰쿬ꎬ쇭튻랽쏦튲쮵쏷쳬웸뗄펰쿬뻟폐돖탸탔ꆣ Hirshleifer뫍Shumway (2003)폃Logit쒣탍볬퇩쇋좫쟲26룶막욱붻틗쯹쫐뎡횸쫽폫떱뗘퓆닣뢲룇싊뗄맘쾵ꎬ쯻쏇랢쿖폐25룶믘맩쾵쫽캪뢺횵ꎬ죧맻쎿룶믘맩쾵쫽뗄럻뫅뚼돊뛀솢뗄뛾쿮럖늼ꎨ돶쿖헽뢺뗄룅싊뚼캪ꎩꎬ퓲돶쿖헢훖쟩뿶뗄룅싊횻폐4×10-7!쯹틔ꎬ쯻쏇뻝듋죏캪헢쫇쳬웸펰쿬막욱쫕틦싊뗄쏷쿔횤뻝횮튻ꆣ 늻맽ꎬ틑폐뗄듳늿럖퇐뺿훷튪벯훐퓚쎿죕쳬웸뇤뮯뗄욽뻹횵폫막욱쫐뎡죕쫕틦싊횮볤뗄맘쾵ꎬ뛸쫐뎡캢맛뷡릹샭싛죏캪ꎬ막욱쫐뎡뗄죕쓚붻틗튲돊쿖돶튻뚨뗄쳘헷(Fabozzi, Ma, Chittenden뫍Pace,1995; Harris,1986; Stoll뫍Whaley,1990)ꆣ틲듋ꎬ컒쏇쾣췻럖컶죕쓚뗄쳬웸ힴ뿶쫇럱펰쿬떽죕쓚뗄막욱쫐뎡붻틗탐캪ꆣ쫂쪵짏ꎬS. Chang, et al. (2008)뛔얦붻쯹1994-2004쓪쎿룶붻틗죕뗄ꎨ쎿럖훓ꎩ룟욵쫽뻝럖컶뇭쏷ꎬ쳬웸춨맽펰쿬춶헟쟩탷듓뛸뛔막쫐탎돉튻뚨뗄펰쿬ꎬ퓚뛠퓆뗄쳬웸샯ꎬ막쫐쫕틦뷏뗍ꎬ떫죕쓚뗄퓆닣뢲룇싊뛔막쫐뗄뢺쏦펰쿬훷튪돶쿖퓚뾪엌뫳뗄잰15럖훓ꎬ쯦ퟅ룼뛠탅쾢뗄떽듯뫍붻틗뗄돖탸뷸탐ꎬ헢훖펰쿬뫜뿬쿻쪧쇋ꎬ쮵쏷탄샭틲쯘뛔막쫐뗄펰쿬쫇뛌퓝뗄ꆣ쿔좻ꎬ룃뷡싛폫Loughran뫍Schultz (2004)맘폚쳬웸펰쿬돖탸탔뗄맛뗣쿠쎬뛜ꆣ놾퇐뺿쾣췻춨맽뛔훐맺막쫐죕쓚쫽뻝뗄럖컶캪쳬웸뛔뷰죚쫐뎡뗄펰쿬쳡릩뷸튻늽뗄뺭퇩횤뻝ꆣ 죧잰쯹쫶ꎬ짏몣횤좯붻틗쯹폫얦풼막욱붻틗쯹ퟮ듳뗄늻춬퓚폚쯼쏇뗄붻틗믺훆ꎬ짏몣횤좯붻틗쯹쪵쪩뗄쫇솬탸뺺볛뗄뗧ퟓ붻틗쾵춳ꎬ쎻폐ퟶ쫐짌ꎬ뛸얦풼막욱붻틗쯹훷튪평ퟶ쫐짌뫍볒붻틗살쳡릩쇷뚯탔ꆣS. Chang, et al. (2008)횸돶ꎬ평폚헢킩ퟶ쫐짌뫍볒틔벰훷튪뺭볍죋쎿쳬뚼뻛벯퓚춬튻뗘뗣ꎨ얦풼쫐ꎩꎬ떱뗘뗄쳬웸붫펰쿬헢킩죋뗄쟩탷ꎬ늢춨맽헢킩죋뷸튻늽삩즢떽웤쯻뗘랽뗄춶헟짭짏ꆣ틲듋ꎬ뺡맜헢킩죋폫헻룶쫐뎡닎폫헟쿠뇈ꎬ횻햼뫜킡튻늿럖ꎬ떫죧맻퓚헢훖쟩뿶쿂튲헒떽쇋얦풼떱뗘쳬웸뛔폚막쫐뗄펰쿬뗄뮰ꎬ뻍룼쓜쮵쏷쳬웸쓜릻폐킧펰쿬막욱쫐뎡ꆣ 듋췢ꎬBarclay뫍Litzenberger (1988)ꎬBusse뫍Clifton Green (2002)횸돶ꎬ죧맻쳬웸폫막쫐뗄맘쾵뷶뷶살ퟔ튻킩틬뎣퇹놾믲ퟓ퇹놾뗄뮰ꎬ볬퇩훜웚뗄쯵뛌퓲뿉틔복짙웤쯼컞맘뗄췢짺틲쯘뗄펰쿬ꎬ헢뛔폚뷢쫍탄샭틲쯘뛔막쫐뗄펰쿬뻟폐훁맘훘튪뗄ퟷ폃ꆣ헢튲쫇놾컄닉폃죕쓚쫽뻝뗄풭틲횮튻ꆣ 웤쯻쳬웸횸뇪폫쟩탷 Howarth뫍Hoffman (1984)랢쿖ꎬ돽쇋죕헕횸뇪췢ꎬ쿠뛔쪪뛈뫍컂뛈튲뛔죋쏇뗄쟩탷쳘뇰쫇힢틢솦닺짺쏷쿔펰쿬ꆣ쪪뛈퓶볓쪱ꎬ죋쏇뗄힢틢솦뇤뗃늻첫벯훐쇋ꆣ컂뛈폫죋쳥뗄룷쿮짺샭릦쓜쏜쟐쿠맘ꎬ캪쇋놣돖뫣뚨뗄쳥컂폫췢뷧웸컂뗄욽뫢ꎬ죋쳥뗄닺죈폫즢죈뇘탫폫췢뷧뮷뺳쿠킭뗷ꎬ믺쳥춨맽늻뛏뗘닺죈쳡룟쳥컂뫍캬돖탂돂듺킻ꎬ춨맽돖탸뗘즢죈붵뗍쳥컂ꎬ뗃떽쳥쓚죈욽뫢ힴ첬ꆣ죧맻컂뛈뗍훁-8ꇦ떽-28ꇦꎬ죋쏇뗄릥믷탔쟩탷붫믡듳듳퓶볓ꆣAllen뫍Fischer (1978)뫍Wyndham (1969)랢쿖ꎬ떱놩슶퓚벫뛋룟컂믲벫뛋뗍컂뮷뺳쪱ꎬ죋쏇췪돉죎컱뗄횴탐솦붵뗍쇋ꆣ뛸퓚룟컂쳵볾쿂ꎬ죋쏇뿉쓜뇤뗃킪쮹뗗샯믲틬뎣샤쒮ꆣCunningham (1979)튲횸돶퓚맽샤믲맽죈뗄쳬웸훐ꎬ죋쏇뇤뗃늻풸틢냯훺뇰죋ꆣ릥믷쟩탷퓶볓붫떼훂룼뛠뗄쎰쿕탔ꎬ뛸샤쒮퓲틢캶ퟅ늻풸틢돐떣럧쿕ꎬ쯹틔ꎬCao뫍Wei (2005)죏캪ꎬ웸컂폫막욱쫕틦뗄맘쾵붫좡뻶폚솽훖솦솿뗄뛔뇈ꆣ 럧쯙뿉틔펰쿬죋쳥뗄듺킻쯙뛈ꎬ뛔쳥컂뫍쟩탷닺짺ퟷ폃(Charuvisit, Kimura뫍Fujino,2004)ꆣGreen (1994)춨맽쪵횤퇐뺿횸돶ꎬ럧뿉틔펰쿬볝뎵헟캥헂춣뎵뗄뇈싊ꆣKeef뫍Roush (2002)룹뻝탂컷삼쫗뚼 4
믝쇩뛙뾿몣뗄쳘뗣ꎬ횱뷓퇐뺿쇋럧쯙뫍럧쿲폫막욱쫐뎡쫕틦싊뗄맘쾵ꎬ쯻쏇랢쿖럧쯙뫍살ퟔ쓏랽뗄럧뛔막쫐쫕틦뻟폐쏷쿔뗄뢺쏦ퟷ폃ꎬ럧쯙풽룟ꎬ막욱쫐뎡쫕틦싊풽뗍ꎬ랴횮틠좻ꆣ헢폫떱뗘뗄뗘샭캻훃ꆢ몣퇳탔짺믮쾰맟뫍뛔럧뗄맛쓮쫇튻훂뗄ꆣ퓚탂컷삼ꎬ죧맻많웰럧ꎬ틢캶ퟅ놯맛ꎬ죧맻럧욽샋뺲퓲틢캶ퟅ샖맛뫍쿲짏ꎻ죧맻많웰뗄럧쫇쓏럧ꎬ평폚쓏럧살ퟔ쓏벫듳슽ꎬ퓚쓏벫폫탂컷삼횮볤쎻폐슽뗘쳡짽헢킩쓏럧뗄컂뛈ꎬ쯹틔쓏럧뎣뎣쫇뇹샤듌맇뗄ꎬ떼훂춶헟쟩탷뗍실ꆣ 3 퇐뺿쫽뻝 쳬웸뇤솿 놾퇐뺿뗄쳬웸쫽뻝쫇2003쓪1퓂1죕훁2008쓪12퓂31죕쎿튻쳬8:00-15:00쎿킡쪱쯹맛달떽뗄쫽뻝ꎬ쫽뻝살풴폚뗘쏦웸쿳릫쮾ꎨ 놾퇐뺿톡좡뗄쳬웸뇤솿냼삨ꎺ퓆닣뢲룇싊ꎨCCꎩꎻ컂뛈ꎨTEMPꎬ떥캻ꎺ짣쫏뛈ꎩꎻ쿠뛔쪪뛈ꎨHUMꎩꎻ슶뗣컂뛈ꎨDPꎬ떥캻ꎺ짣쫏뛈ꎩꎻ웸톹ꎨPREꎬ떥캻ꎺhPaꎩꎻ쓜볻뛈ꎨVISꎬ떥캻ꎺ릫샯ꎩꎻ럧쯙ꎨWSPꎬ떥캻ꎺ릫샯/킡쪱ꎩꎻ럧쿲ꎨWDIRꎩꆣ WU쫽뻝뿢쎻폐횱뷓쳡릩퓆닣뢲룇싊ꎬ뛸쫇엻슶쇋폫퓆닣뢲룇싊횱뷓쿠맘뗄쳬웸ힴ뿶죧쟧ꆢ쟧볤뛠퓆뫍뛠퓆뗈쏨쫶탔쫂볾ꎬ틲듋내헕폫Saunders (1993)샠쯆뗄랽램ꎬ컒쏇럖뇰뢳횵1-5붫웤뮻캪퓆닣뢲룇싊ꎺ1-쟧ꎻ2-쟧볤뛠퓆ꎨ믲폐퓆ꎩꎻ3-뛠퓆ꎻ4-틵ꎨ믲킡폪ꎩꎻ5-훐폪ꎨ믲컭믲톩ꎩꆣ튲벴쫇쮵ꎬ1뇭쪾퓆닣뢲룇싊캪0-10%ꎻ2뇭쪾퓆닣뢲룇싊캪10-30%ꎻ3뇭쪾퓆닣뢲룇싊캪30-50%ꎻ4뇭쪾퓆닣뢲룇싊캪50-80%ꎻ5뇭쪾퓆닣뢲룇싊캪80-100%ꆣ평폚벫뛋뗄쳬웸ힴ뿶튲믡뛔쫐뎡ꆢ춨톶믲웤쯻짌튵믮뚯퓬돉쯰몦ꎬ쯹틔컒쏇뛔폪믲톩뗄쳬웸튲뷸탐쇋볬퇩ꆣ폪믲톩닉폃폫Loughran뫍Schultz (2004)샠쯆뗄랽램ꎬ폃탩쓢뇤솿뇭쪾ꎬ1듺뇭쿂폪믲쿂톩ꎬ0듺뇭컞폪믲컞톩ꆣ 쿠뛔쪪뛈횸뿕웸훐쮮웻뗄웸톹돽틔욽뫢쮮웻웸톹뗄냙럖뇈싊ꎬ벴쮮헴웸뗄놥뫍뛈폐뛠룟ꆣ듓짺샭톧뗄뷇뛈뾴ꎬ뿕웸쪪뛈폫죋쏇뫴컼횮볤뗄맘쾵럇뎣뷴쏜ꆣ퓚튻뚨뗄쪪뛈쿂퇵웸뇈뷏죝틗춨맽럎엝뷸죫톪튺ꆣ죋쏇퓚뗄쿠뛔쪪뛈쿂룐뻵ퟮ쫦쫊ꆣ쪪뛈맽룟믡펰쿬죋쳥뗷뷚쳥컂뗄업몹릦쓜ꎬ룐떽쏆죈ꆣ튻냣뛸퇔ꎬ죋쏇퓚룟컂떫뗍쪪뛈뗄쟩뿶쿂ꎨ뇈죧즳쒮ꎩ뇈퓚컂뛈늻첫룟떫쪪뛈뫜룟뗄쟩뿶쿂ꎨ뇈죧폪쇖ꎩ뗄룐뻵튪뫃ꆣ 슶뗣컂뛈쫇횸뿕웸퓚쮮웻몬솿뫍웸톹뚼늻룄뇤뗄쳵볾쿂ꎬ샤좴떽놥뫍쪱뗄컂뛈ꎬ튲벴쫇뿕웸훐쮮헴웸뇤캪슶훩쪱뗄컂뛈ꆣ퓚웸쿳럖컶훐ꎬ슶뗣컂뛈튻냣낵쪾뿕웸뗄쫦쫊돌뛈ꎬ떱슶뗣컂뛈퓚10떽16짣쫏뛈랶캧쓚쪱ꎬ뿕웸룐뻵쪮럖쫦쫊ꆣ떱슶뗣컂뛈짏짽쪱ꎬ뿕웸훐뗄쮮웻몬솿퓶룟ꎬ튻떩뎬맽21짣쫏뛈ꎬ죋쏇믡놧풹뿕웸쪪죈ꆣ슶뗣컂뛈쯤좻틔컂뛈뇭쪾ꎬ떫쯼폫쿠뛔쪪뛈뇭쪾뗄몬틥럇뎣뷓뷼ꆣ룹뻝퇹놾뗄쿠맘탔럖컶ꎬ슶뗣컂뛈폫컂뛈횮볤뗄쿠맘쾵쫽듯ꎬ폫쪪뛈뗄쿠맘쾵쫽튲폐ꎬ틲듋ꎬ캪쇋뇜쏢뷢쫍뇤솿횮볤뗄뛠훘릲쿟탔ꎬ쪵횤럖컶훐횻놣쇴쇋쿠뛔쪪뛈ꎬ뛸쳞돽쇋슶뗣컂뛈ꆣ 웸톹횸웸쳥뛔쒳튻뗣쪩볓뗄쇷쳥뺲솦톹잿ꎬ살풴폚듳웸닣훐뿕웸뗄훘솦ꎬ벴떥캻쏦믽짏뗄듳웸 5
톹솦ꎬ1룶뇪ힼ듳웸톹뗈폚1013냙엁ꎨhPaꎩꆣ퓚뗍웸톹뮷뺳훐ꎬ평폚컼죫웸훐퇵럖톹뷏퓚뎣톹쿂뗍ꎬ쪹럎엝웸훐퇵럖톹쿂붵ꎬ듓뛸쪹럎엝훐퇵럖톹폫톪튺훐퇵럖톹횮볤톹솦닮쿂붵ꎬ떥캻쪱볤쓚럎엝쏖즢떽쎫쾸맜뗄퇵복짙ꎬ뷡맻쪹뚯싶훐퇵럖톹쿂붵ꎬ톪퇵놥뫍뛈쿂붵ꎬퟮ훕펰쿬죋쏇쮼뾼뫍뻶닟ꆣ 쓜볻뛈횸맛달헟샫컯쳥뛠풶쪱죔좻뿉틔쟥돾뾴볻룃컯쳥ꆣ웸쿳톧훐ꎬ쓜볻뛈놻뚨틥캪듳웸뗄춸쏷뛈ꆣ뗍쓜볻뛈뛠돶쿖폚폪쳬ꆢ듳컭쪱벰폐퇌쾼뗄죕ퟓꆣ떱뗍쓜볻뛈뗄틵쳬웸돶쿖쪱ꎬ평폚맢쿟늻ퟣꎬ뫜죝틗쪹죋뗄탄쟩폇폴뫍쟩탷뗍실ꎬ짵훁믡폕랢틖폴횢ꆣ 럧쿲뗄뚨틥죧쿂ꎺ0-컞럧ꎻ1-놱ꎻ2-뚫놱놱ꎻ3-뚫놱ꎻ4-뚫놱뚫ꎻ5-뚫ꎻ6-뚫쓏뚫ꎻ7-뚫쓏ꎻ8-뚫쓏쓏ꎻ9-쓏ꎻ10-컷쓏쓏ꎻ11-컷쓏ꎻ12-컷쓏컷ꎻ13-컷ꎻ14-컷놱컷ꎻ15-컷놱ꎻ16-컷놱놱ꎻ17-늻뚨ꆣ 쳬웸횸뇪뗄벾뷚탔틲쯘쳞돽 춼1 2003쓪-2008쓪8:00-15:00욽뻹퓆닣뢲룇싊뫍컂뛈ퟟ쫆 춼1쏨쫶쇋2003-2008쓪8:00-15:00욽뻹퓆닣뢲룇싊뫍컂뛈ퟟ쫆ꎬ쿔좻ꎬ헢킩쳬웸쫽뻝뇭쿖돶룟뛈뗄벾뷚탔ꎬ뻍컂뛈뛸퇔ꎬ쿄벾뇈뚬벾룟돶탭뛠ꎬ쿄벾ퟮ룟욽뻹웸컂듯35뛈ꎬ뚬벾ퟮ뗍욽뻹웸컂횻폐5뛈ퟳ폒ꆣ퓆닣뢲룇싊튲샠쯆ꎬ횻늻맽뇤뮯훜웚쿠뛔뷏뛌ꆣ횵뗃힢틢뗄쫇ꎬ튻냣뛸퇔ꎬ쿄쳬뛠퓆ꎨ믲틵쳬ꎩ뗄죕ퟓ뇈뚬쳬짙킩ꎬ떫듓춼짏맛달떽6퓂훐쿂톮뗄퓆닣뢲룇싊뇈잰뫳튻뛎쪱볤뚼룟ꆣ쪵볊짏ꎬ헢뛎쪱볤헽뫃쫇뎤붭훐쿂폎뗄쎷폪벾뷚ꎬ틵폪쳬웸뷏뛠ꆣ틲듋ꎬ탨튪뛔쳬웸쫽뻝뗄벾뷚탔볓틔뿘훆ꆣ닎헕S. Chang, et al. (2008)뫍Hirshleifer뫍Shumway (2003)뗄랽램ꎬ놾퇐뺿닉폃복좥훜욽뻹횵뗄랽램ꎺ쫗쿈폃룷쓪럝쓪돵뾪쪼쎿튻룶ퟔ좻훜뗄풭쪼쫽뻝볆쯣룃훜룷쳬웸횸뇪뗄욽뻹횵ꎻ퓙폃룃훜풭쪼쫽뻝복좥욽뻹횵ꎬ벴뿉뗃쿻돽벾뷚탔틲쯘뗄쳬웸횵ꎬ폃쳬웸뇤솿볓짏뇪d뇭쪾ꆣ 쳬웸뇤솿뗄쏨쫶탔춳볆 6 Cloud Cover1퓂1죕1퓂17죕2퓂2죕2퓂18죕3퓂7죕3퓂26죕4퓂12죕4퓂29죕5퓂15죕6퓂1죕6퓂17죕7퓂4죕7퓂21죕8퓂6죕8퓂22죕9퓂9죕9퓂26죕10퓂13죕10퓂29죕11퓂14죕11퓂30죕12퓂16죕Temperature
뇭1 쫇쳬웸뇤솿뗄쏨쫶탔춳볆ꆣPanel A쿔쪾ꎬ짏몣뗘쟸뗄욽뻹퓆닣뢲룇싊퓚횮볤ꎬ튲뻍쫇쮵ꎬ뒦폚쟧볤뛠퓆떽뛠퓆횮볤ꎬ퓆닣뢲룇싊ퟮ룟뗄쪱뛎쫇퓧짏9:00-10:00웚볤ꎬퟮ뗍뗄쪱뛎쫇14:00-15:00ꎻ냗쳬뗄웸컂늻뎬맽21뛈ꎬ퓧짏웸컂싔뗍ꎬ풼캪16뛈ꎬ쿂컧14:00-15:00욽뻹웸컂ퟮ룟ꎬ듯뛈ꎻ슶뗣컂뛈퓚11뛈ퟳ폒ꎬ슶뗣컂뛈폫웸컂횮볤닮횵ퟮ킡뗄쪱뛎퓚퓧짏ꎬ쮵쏷퓧짏뿕웸ퟮ캪쪪죳ꎬ헢튲뿉틔듓퓧짏뗄쿠뛔쪪뛈룟듯뗃떽펡횤ꎬ평폚퓧짏뿕웸쪪뛈뷏룟ꎬ죝틗돶쿖컭ꎬ쯹틔퓧짏8:00-9:00뗄쓜볻뛈튲쫇좫쳬ퟮ뗍뗄ꎻ웸톹싔룟폚뇪ힼ듳웸톹ꎻ쓜볻뛈욽뻹퓚릫샯ퟳ폒ꎬ쿂컧뗄쓜볻뛈뷏룟ꎻ럧쯙듳풼캪릫샯/킡쪱ꎬ컧뫳뗄럧쯙뇈짏컧뗄럧쯙튪뿬킩ꆣ듓Panel B뾴떽ꎬ퓚쳞돽벾뷚탔틲쯘횮잰ꎬ짏컧퓆닣뢲룇싊뗄늨뚯듳폚쿂컧ꎻ8:00-9:00컂뛈뗄뇪ힼ닮쫇좫쳬ퟮ룟뗄ꆣ룹뻝Panel Cꎬ쯹폐쳬웸뇤솿퓚룷룶쪱뛎뗄욽뻹횵벸뫵뚼캪쇣ꎬ쮵쏷벾뷚탔틲쯘쿻돽뗃뷏뎹뗗ꎬ떫쳞돽벾뷚탔틲쯘뫳뗄뇪ힼ닮퓚룷쪱뛎늻첫컈뚨ꎬ죧12:00-13:00웸톹뗄뇪ힼ닮캪ꎬ뛸튻킡쪱잰ꎨ11:00-12:00ꎩ뗄뇪ힼ닮퓲횻폐ꆣPanel D뮹쿔쪾ꎬ퓧짏8:00-9:00CCd뗄뇪ힼ닮ퟮ듳ꎬ쮵쏷헢룶쪱뛎퓆닣뢲룇싊뗄뇤뮯ퟮ듳ꆣ 뇭1 쳬웸횸뇪뗄쏨쫶탔춳볆ꎨSummary Statistics of Weather Variablesꎩ 뇤솿 쪱뛎 8:00-9:00 9:00-10:00 10:00-11:00 11:00-12:00 12:00-13:00 13:00-14:00 14:00-15:00 Panel A: 풭쪼쳬웸횸뇪뗄욽뻹횵ꎨMean of Raw Data of Weatherꎩ CC TEMP DP HUM PRE VIS WSP WDIR Panel B: 풭쪼쳬웸횸뇪뗄뇪ힼ닮ꎨSTD of Raw Data of Weatherꎩ CC TEMP DP HUM PRE VIS WSP WDIR Panel C: 쳞돽벾뷚탔틲쯘뫳쳬웸횸뇪뗄욽뻹횵ꎨMean of Weekly Deseasonalized Data of Weatherꎩ CCd TEMPd DPd HUMd PREd VISd WSPd WDIRd Panel D: 쳞돽벾뷚탔틲쯘뫳쳬웸횸뇪뗄뇪ힼ닮ꎨSTD of Weekly Deseasonalized Data of Weatherꎩ CCd TEMPd DPd HUMd PREd VISd WSPd WDIRd 힢ꎺCC뇭쪾퓆닣뢲룇싊ꎨCloud CoverꎩꎻTemp뇭쪾짣쫏컂뛈ꎻDP뇭쪾슶뗣컂뛈ꎻHUM뇭쪾쿠뛔쪪뛈ꎻPRE뇭쪾웸톹ꎻVIS뇭쪾쓜볻뛈ꎻWSP뇭쪾럧쯙ꎻWDIR뇭쪾럧쿲ꎻ듸d뫅뗄뇤솿뇭쪾쳞돽벾뷚탔틲쯘뫳뗄뇤솿ꆣ 막욱쫐뎡붻틗횸뇪뗄볆쯣 컒쏇틔짏횤횸쫽쫕틦싊ꆢ뮻쫖싊뫍짏횤횸쫽늨뚯싊살쏨쫶막욱쫐뎡뗄붻틗탐캪ꆣ쯹폐막욱쫐뎡뗄쫽뻝뻹살ퟔ맺첩낲릫쮾CSMAR쫽뻝뿢ꆣ 짏횤횸쫽index뗄쫕틦싊RET닉폃뛔쫽쫕틦싊ꎬ벴RET=lnindex−lnindexttt−1ꎬ웤훐indext쫇짏횤횸쫽t쪱뿌뗄쫕엌횵ꆣ돽떱쳬뾪엌쫕틦싊췢ꎬ컒쏇폃쎿튻쪱뛎뗄뾪엌횸쫽뫍쫕엌횸쫽볆쯣RET 7
ꎨ벴킡쪱쫕틦싊ꎩꆣ평폚9:30-10:00뫍11:00-11:30솽룶쪱뛎뗄붻틗쪱볤뚼횻폐냫킡쪱ꎬ캪쇋쪹헢솽룶쪱뛎뗄쫕틦싊폫뛔펦뗄쳬웸횸뇪쿠욥엤ꎬ컒쏇닉폃S. Chang, et al. (2008)뗄랽램ꎬ냑9:30-10:00뫍11:00-11:30웚볤뗄쫕틦싊돋틔2뮻쯣캪킡쪱쫕틦싊ꆣ쎿튻룶붻틗죕뗄뾪엌쫕틦싊폃뾪엌횸쫽폫짏튻붻틗죕뗄쫕엌횸쫽살볆쯣ꆣ 뮻쫖싊TUR폃쎿튻쪱뛎뗄쫐뎡ퟜ돉붻솿돽틔떱죕짏붻쯹짏쫐릫쮾쇷춨막ퟜ솿ꎬ뾪엌뮻쫖싊퓲폃뾪엌잰9:15-9:25횮볤벯뫏뺺볛뗄돉붻솿돽틔쇷춨막ퟜ솿ꆣ9:30-10:00뫍11:00-11:30솽룶쪱뛎뮻쫖싊뗄뒦샭폫짏횤횸쫽쫕틦싊샠쯆ꆣ 짏횤횸쫽늨뚯싊VOLT뗄볆쯣릫쪽캪ꎺ(indexh−index)/(index+index)/2)ꎬ웤훐indexilohilohi쫇쎿튻쪱뛎짏횤횸쫽뗄ퟮ룟횵ꎬindexlo쫇쎿튻쪱뛎뗄ퟮ뗍횵ꆣ9:30-10:00뫍11:00-11:30쪱뛎늨뚯싊뗄뒦샭폫횸쫽쫕틦싊샠쯆ꆣ평폚9:30뾪엌쪱ꎬ늻엻슶9:15-9:25벯뫏뺺볛훐뗄ퟮ룟횵뫍ퟮ뗍횵ꎬ틲듋ꎬ뾪엌쪱늻볆쯣늨뚯싊ꆣ 뇭2쫇막욱쫐뎡붻틗횸뇪뗄쏨쫶탔춳볆ꆣPanel A뇭쏷ꎬ짏횤횸쫽죕쓚욽뻹쎿킡쪱뗄쫕틦싊풼캪ꎬ웤훐욽뻹쫕틦싊ퟮ뗍뗄쪱뛎캪뾪엌쪱ꎬ횻폐ꎬퟮ룟뗄쪱뛎캪14:00-15:00ꎬ폐ꎬ헻룶퇹놾웚쓚ퟮ듳뗄럖쪱쫕틦싊캪ꎬ랢짺퓚2008쓪9퓂19죕뾪엌뗄쪱뫲ꎬ헢쫇틲캪캪쇋펦뛔좫쟲탔뷰죚캣믺ꎬ훐맺닆헾늿뻶뚨듓2008쓪9퓂19죕웰ꎬ뛔횤좯붻틗펡뮨쮰헾닟뷸탐뗷헻ꎬ평풭살뗄쮫뇟헷쫕룄캪떥뇟헷쫕ꎨ벴싲랽돐떣ꎬ싴랽쏢쮰ꎩꎬ쮰싊놣돖1‰ꎬ헢뛔폚막욱쫐뎡뛸퇔ꎬ쫇훘듳샻뫃ꎬ짏횤횸쫽뾪엌벴럢퓚벸뫵헇춣ꎨ붻틗쯹맦뚨뗄헇뗸럹쿞훆캪±10%ꎩ뗄캻훃짏ꎬ뛸럖쪱뗄ퟮ뗍쫕틦싊랢짺퓚2008쓪1퓂22죕짏컧9:30-10:00횮볤ꎬ쫜짏튻붻틗죕냼삨쏀맺ꆢ죕놾뗈맺퓚쓚뗄좫쟲막쫐놩뗸ꎬ훐맺막쫐퓚떱죕짮뛈쿂듬ꆣ죕쓚욽뻹쎿킡쪱뗄뮻쫖싊캪ꎬ욽뻹뮻쫖싊ퟮ룟뗄쪱뛎쫇9:30-10:00ꎬ듯떽쇋ꎬ퇹놾웚볤ퟮ룟뮻쫖싊튲랢짺퓚헢룶쪱뛎ꎻ죕쓚욽뻹쎿킡쪱늨뚯싊캪ꎬ욽뻹늨뚯싊ퟮ룟뗄쪱뛎쫇9:30-10:00ꎬ욽뻹늨뚯싊ퟮ뗍뗄쪱뛎쫇13:00-14:00ꆣ늨뚯싊ퟮ뗍뗣캪쇣ꎬ랢짺퓚2008쓪9퓂19죕14:00-15:00ꎬ쫜헾닟틲쯘펰쿬ꎬ떱쳬ퟮ뫳튻킡쪱횸쫽놻샎샎뗘쯸뚨퓚뗄뗣캻짏ꎡ 뇭2 막욱쫐뎡붻틗횸뇪뗄쏨쫶탔춳볆ꎨSummary Statistics of Trading Variablesꎩ 뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 Panel A: Summary Statistics of RET Mean Standard Deviation Minimum Maximum Panel B: Summary Statistics of TUR Mean Standard Deviation Minimum Maximum Panel C: Summary Statistics of VOLT Mean - Standard Deviation - Minimum - Maximum - 힢ꎺRET뇭쪾짏횤횸쫽쫕틦싊ꎻTUR뇭쪾뮻쫖싊ꎻVOLT뇭쪾늨뚯싊ꆣ 4 퇐뺿랽램폫쪵횤뷡맻 쫐뎡붻틗폫쳬웸횸뇪뗄뛠뇤솿믘맩 내헕폫Hirshleifer뫍Shumway (2003)ꎬS. Chang, et al. (2008)샠쯆뗄랽램ꎬ컒쏇붨솢쇋죧쿂죽룶볬퇩쒣탍ꎺ 8
RET=a+aCd+aTEMPd+aHUMd+aPREd+aVISdt01t2t3t4t5t ꎨ1ꎩ +a6WSPd+aWDIRSNOWd+aRAINd+et7t8t9ttTUR=b0+b1Cd+b2TEMPd+b3HUMd+b4PREd+bVISdttttt5t ꎨ2ꎩ +bWSPd+bWDIRSNOdd 6W+bRAIN+t7t8t9ttVOLT=0+d1+ddddggCg2TEMP+g3HUM+g4PRE+gVISttttt5t ꎨ3ꎩ +g6WSPd+g7WDIRd8SNOWd9RAINd +g+utttttꎨ1ꎩ-ꎨ3ꎩ쪽훐ꎬ쯹폐듸d뗄뇤솿뻹캪쳞돽벾뷚탔틲쯘뫳뗄쳬웸횸뇪ꆣ뇭3맩쓉쇋쫐뎡쫕틦싊폫쳬웸뇤솿횮볤뗄죕쓚럖쪱뛎믘맩뷡맻ꆣ룷믘맩쾵쫽뗄랽닮엲헍틲ퟓ뚼킡폚10ꎬ쮵쏷뷢쫍뇤솿횮볤늻듦퓚뛠훘릲쿟탔Wooldridge)ꎬ듋췢ꎬ컒쏇뮹춨맽틬랽닮-컈붡뇪ힼ컳뿘훆쇋믘맩훐틬랽닮뗄펰쿬(Greene,2003; White,1980)ꎬ쪹믘맩랽돌뗄춳볆췆뛏룼볓컈붡ꎨ뇭4-8닉폃쇋춬퇹뗄랽램ꎬ틔쿂늻퓙ힸ쫶ꎩꆣ컞싛쫇헻룶붻틗쪱뛎ꎨ9:30-15:00ꎩ뮹쫇룷룶럖쪱뛎ꎬ쫐뎡쫕틦싊폫퓆닣뢲룇싊횮볤뗄솪쾵늻첫쏷쿔ꎬ뺡맜11:00-11:30뫍13:00-14:00솽룶쪱뛎뗄믘맩쾵쫽퓚춳볆짏쫇쿔훸뗄ꎬ떫쯼쏇뗄럻뫅쫇쿠랴뗄ꎬ튻룶캪헽ꆢ튻룶캪뢺ꆣ헢폫Saunders (1993)뫍S. Chang, et al. (2008)뗄퇐뺿뷡맻닮틬뷏듳ꆣSaunders (1993)닉폃죕욽뻹쳬웸쫽뻝랢쿖퓆닣뢲룇싊폫막쫐쫕틦싊뢺쿠맘ꎬ뛸S. Chang, et al. (2008)닉폃죕쓚틔킡쪱캪쪱볤볤룴뗄쳬웸쫽뻝랢쿖ꎬ쫐뎡쫕틦싊폫퓆닣뢲룇싊뗄뢺쿠맘맘쾵훷튪쳥쿖퓚뾪엌뫳뗄15럖훓쓚ꎬ쯦ퟅ붻틗뗄돖탸뷸탐뫍탂탅쾢뗄떽듯ꎬ퓆닣뛔춶헟쟩탷뗄ퟷ폃뫜뿬쿻쪧ꆣ늻맽ꎬS. Chang, et al. (2008)뗄퇐뺿퇹놾살ퟔ틔ퟶ쫐짌캪훷뗄얦풼막욱붻틗쯹ꎬ쫐뎡뾪엌쪱ꎬ룷ퟶ쫐짌뇘탫놨돶싲싴볛룱ꎬ뛸쟒헢킩ퟶ쫐짌탨튪퓚쫐뎡뾪엌잰떽듯냬릫뎡쯹ꎬ틲듋ꎬ뾪엌잰틔벰뾪엌쪱뗄쳬웸뿉쓜펰쿬ퟶ쫐짌뗄붻틗탐캪ꆣ짏몣막욱붻틗쯹늻듦퓚ퟶ쫐짌ꎬ붻틗뗄췪돉훷튪틀뾿춶헟쳡붻뗄쫐볛뚩떥믲쿞볛뚩떥ꎨ떱죕폐킧ꎩꎬ붻틗헟늻뇘퓚뾪엌잰떽듯냬릫뎡쯹ꎬ헢퇹ꎬ쳬웸뛔뾪엌붻틗뗄펰쿬늻쏷쿔ꎬ틲캪춶헟벰웤뚩떥쫇슽탸떽듯쫐뎡뗄ꆣ맘폚헢튻뗣ꎬ듓13:00-14:00퓆닣뢲룇싊뗄펰쿬튲쓜릻뗃떽늿럖펡횤ꆣ룹뻝짏붻쯹붻틗맦퓲ꎬ짏몣막욱붻틗쯹뗄붻틗쪱볤럖캪퓧엌ꎨ9:30-11:30ꎩ뫍컧엌ꎨ13:00-15:00ꎩ솽룶럖뾪뗄붻틗쪱뛎ꎬ퓧컧엌횮볤쫐뎡춣없킡쪱ꎨ11:30-13:00ꎩꆣ퓧엌뷡쫸뫳ꎬ헽뫃쫇컧닍쪱볤ꎬ떱쳬헽퓚닎폫붻틗믲ힼ놸닎폫붻틗뗄춶헟럗럗ퟟ돶뮧췢폃닍ꎬ맛달떽훐컧뗄쳬웸쪵뿶ꎬ웤쟩탷쫜떽튻뚨뗄펰쿬ꎬ쯹틔ꎬ떱쯻쏇믘떽쫐뎡듓쫂컧엌붻틗쪱ꎬ쳬웸뿉쓜뛔컧뫳뗄붻틗탎돉펰쿬ꎬ떼훂13:00-14:00횮볤CCd뗄쾵쫽퓚5%쮮욽짏쿔훸ꆣ헢폫NYSE뗄붻틗튲늻튻훂ꎬ틲캪쏀맺놾췁듦퓚쪱닮ꎬ룷쪱쟸뗄컧닍쪱볤늻췪좫튻퇹ꎬ뺡맜춶헟ퟟ돶뮧췢폃닍쪱맛달떽뗄쳬웸뿉쓜펰쿬막욱붻틗ꎬ떫럖즢뗄폃닍쪱볤뗖쿻뗴쇋헢훖ퟷ폃ꎬ쯹틔ꎬ퓚S. Chang, et al. (2008)뛔NYSE 13:00-13:00죕쓚쫽뻝뗄럖컶훐ꎬ쳬웸뛔컧닍뫳뗄붻틗쎻폐펰쿬ꆣ폫Hirshleifer뫍Shumway (2003)ꎬSaunders (1993)맘폚퓆닣뢲룇싊뛔막쫐죕쫕틦싊펰쿬뗄퇐뺿쿠뇈ꎬ컒쏇뗄퇐뺿뷸튻늽횤쪵쇋S. Chang, et al. (2008)뗄췆뛏ꎬ벴쳬웸뛔막쫐쫕틦뗄펰쿬퓚붻틗죕쓚쫇늻뻹뫢뗄ꎬ뛸쟒헢훖펰쿬뫜뿉쓜횻ퟷ폃폚쒳튻쪱뛎ꎬ뛸늻쫇좫쳬ꆣ 훁폚웤쯼쳬웸횸뇪ꎬ퓚헻룶붻틗죕쓚ꎨ9:30-15:00ꎩꎬ컂뛈ꆢ쪪뛈뫍럧쯙뗈뚼뛔쫕틦싊뗄펰쿬뻹늻쿔훸ꎬ죧쓜볻뛈VIS퓚퓧엌뫍컧엌뫳냫뛎ꎨ11:00-11:30뫍14:00-15:00ꎩ뛔쫕틦싊뗄ퟷ폃쫇쿠랴뗄ꆣ벫뛋쳬웸훐ꎬ쿂톩뛔쫕틦뗄펰쿬쫇뢺쏦뗄ꎬ쯹폐믘맩쾵쫽뻹캪뢺ꎬ폈웤퓚퓧엌뗄9:30-10:00뫍11:00-11:30솽룶쪱볤뛎춳볆쿔훸ꎬ쿂폪뗄펰쿬늻쏷쿔ꆣ훁폚럧쯙ꎬ웤쯻붻틗쫐뎡뗄퇐뺿늢쎻폐뗃돶튻훂뗄뷡싛ꆣDowling뫍Lucey (2008)랢쿖ꎬ럧쯙횻뛔펢맺횤좯쫐뎡뗄킡엌막폐뢺쏦펰쿬ꎬ뛔듳엌막쎻폐ퟷ폃ꎬ틲듋쯻쏇죏캪럧쯙폫펢맺막욱쫕틦횮볤뗄맘쾵뷏쓑에뚨ꆣ뛸Keef, Roush뫍Zealand (2005)폐맘탂컷삼횤좯쫐뎡쫕틦뗄퇐뺿랢쿖ꎬ컞싛뛔돉럝막횸쫽뮹쫇좫퇹놾뗄횸쫽ꎬ럧쯙뚼뻟폐뢺쏦펰쿬ꆣ 9
늻맽ꎬ탂컷삼쯄훜뮷몣ꎬ쫴폚뗤탍뗄몣퇳탔웸뫲ꎬ쳘뇰쫇퓚막욱붻틗쯹쯹뒦뗄믝쇩뛙뗘쟸ꎬ욽뻹럧쯙뺹듯릫샯/킡쪱ꎬ뇈짏몣6-8릫샯/킡쪱뗄럧쯙룟돶3놶뛠ꎬ쯹틔ꎬ컒쏇뾴떽짏몣뗘쟸뗄럧쯙뛔막쫐쫕틦뗄펰쿬늢늻쏷쿔ꆣCao뫍Wei (2005)뛔쏀맺ꆢ볓쓃듳뫍죕놾뗈8룶맺볒뫍뗘쟸웸컂뗄퇐뺿랢쿖ꎬ컂뛈뛔막욱쫕틦뗄뢺쏦펰쿬쫇쿔훸뗄ꆣ떫퓚뇭3훐ꎬ컂뛈폫쫐뎡쫕틦싊뗄맘쾵늢늻쏷쿔ꎬ뷶뷶퓚13:00-14:00쪱볤뛎쓚춳볆쿔훸ꎬ뛸쟒뮹쫇헽뗄ꆣ쮵쏷퓚짏몣횤좯쫐뎡ꎬ웸컂뛔막욱뚨볛뗄펰쿬뇈뷏쒣뫽ꎬ탨튪뷸튻늽럖컶ꎬ퓚튻뚨돌뛈짏퇩횤쇋Cao뫍Wei (2005)쯹ퟶ뗄싛뛏ꎬ늻춬캳뛈뗘쟸뗄춶헟뛔컂뛈뗄랴펦늻춬ꆣ 뇭4쿔쪾쇋쳬웸횸뇪뛔쫐뎡뮻쫖싊뗄펰쿬ꆣ뮻쫖싊듺뇭쇋쫐뎡뗄쇷뚯탔(Chordia, Roll뫍Subrahmanyam,2001)ꎬ뮻쫖싊풽룟뇭쪾쇷뚯탔풽뫃ꆢ붻틗풽믮풾ꎬ붻틗돉놾풽뗍ꆣ폫S. Chang, et al. (2008)뗄퇐뺿쿠뇈ꎬ컒쏇뗄쪵횤뷡맻쿔쪾뛠쿮쳬웸횸뇪뛔뮻쫖싊뻟폐쿔훸ퟷ폃ꆣ샽죧ꎬ퓆닣뢲룇싊뫍쿂톩폫럱뛔뮻쫖싊뻟폐쏷쿔뗄뢺쏦펰쿬ꎬ퓆닣뢲룇싊퓚쎿튻룶붻틗쪱뛎뗄믘맩쾵쫽뚼쫇뢺뗄ꎬ쟒폐튻냫뗄쾵쫽퓚춳볆짏쿔훸ꎬ뛠룶쪱뛎쿂톩횸뇪뗄탩쓢뇤솿튲쫇춳볆쿔훸뗄ꎬ쮵쏷떱틵퓆쏜늼짵훁쿂톩뗄쪱뫲ꎬ죋쏇뗄탄쟩쫜떽펰쿬ꎬ복짙쇋막욱뗄붻틗솿ꆣ쇭튻랽쏦ꎬ컂뛈ꆢ쪪뛈뫍럧쯙뗈횸뇪폫뮻쫖싊돊쿔훸뗄헽쿠맘ꆣ뻍컂뛈횸뇪뛸퇔ꎬ쯹폐쾵쫽뚼퓚5%벰틔짏쮮욽쿔훸ꆣKaplanski, Levy뫍Scopus (2009)죏캪ꎬ컂뛈뛔쟩탷뗄펰쿬풶럇떥뗷뗄맘쾵ꎬ뛸쫇럇뎣뢴퓓뗄ꎬ쯼좡뻶폚죋쏇놩슶퓚쫒췢뗄쪱볤뎤뛌뫍쯹뒦뗄벾뷚ꆣKeller, et al. (2005)뗄쪵퇩퇐뺿튲뇭쏷ꎬ퓚틋죋뗄벾뷚ꎨ죧뒺벾ꎩꎬ컂뛈뫍웸톹풽룟ꎬ죋쏇쟩탷풽룟ꆢ볇틤풽뫃ꎬ뛸웤쯻벾뷚맽죈믲맽샤ꎬ뚼믡떼훂쟩탷뗍실ꆣ캪듋ꎬ컒쏇뛔컂뛈폫뮻쫖싊뗄맘쾵뷸탐쇋훰퓂뗄럖쪱뛎믘맩ꎬ떫뇭5쿔쪾ꎬ퓚쳬웸퇗죈뗄쿄벾ꎬ컂뛈폫뮻쫖싊뗄맘쾵늢늻쏷쿔ꎬ뛸퓚몮샤뗄뚬벾죧12퓂-2퓂욫룟뗄웸컂뮹믡떼훂뮻쫖싊뷏룟ꆣ틲듋컒쏇뮳틉뇭4훐컂뛈폫뮻쫖싊뗄맘쾵늢럇살ퟔ벾뷚뗄뇤뮯뛸쫇춶헟뗄벾뷚탔쟩탷컉싒ꎨSeasonal Affective DisorderꎬSADꎩ틲쯘ꆣRosenthal (1998)냑평폚뗘쟲캧죆첫퇴릫듸살뗄죕헕쪱볤뎤뛌뇤뮯쯹떼훂뗄죋쳥짺샭믺쓜뗄컉싒믲쪧뗷뷐ퟶ벾뷚탔쟩탷컉싒ꎬ헢훷튪쫇틲캪죕맢짣좡솿뗄퓶복틽웰죋쳥쳥쓚뫉뛻쏉럖쏚뇤뮯뛸닺짺뗄짺샭랴펦ꎬ떼훂짺컯뷚싉컉싒ꆣM. J. Kamstra, Kramer뫍Levi (2003)죏캪떱죕헕쪱볤훰붥뇤뛌쪱ꎬ붫믡틽웰춶헟뗄쿻돁ꎬ복짙붻틗믮뚯ꎬ랴횮퓲믡퓶볓붻틗믮뚯ꆣ틲듋ꎬ컒쏇퓚ꎨ1ꎩ쪽뗄뷢쫍뇤솿믹뒡짏퓶볓쇋듺뇭벾뷚탔쟩탷컉싒횸뇪뗄탩쓢뇤솿SADꎬ늢뚨틥퓚쎿쓪12퓂21죕ꎨ뚬훁ꎩ떽듎쓪6퓂20ꎨ쿄훁잰튻죕ꎩ웚볤ꎬ죕헕쪱볤훰붥뇤뎤ꎬSAD=1ꎬ웤폠쪱볤SAD=0ꆣ듓뇭6뿉틔뾴떽ꎬ돽SAD췢ꎬ웤폠뷢쫍뇤솿럻뫅뗄쿔훸탔쮮욽폫뇭4믹놾튻훂ꎬ뛸SAD퓚룷룶쪱뛎뗄믘맩쾵쫽뻹캪헽쟒퓚1%쮮욽짏쿔훸ꎬ쮵쏷죕헕쪱볤뗄좷쓜릻펰쿬쫐뎡쇷뚯탔믲붻틗솿ꆣ 늨뚯싊랴펳쇋춶헟뗄틢볻럖웧돌뛈ꆣ뇭7쿔쪾ꎬ쫐뎡늨뚯싊폫퓆닣뢲룇싊돊랴쿲맘쾵ꎬ폫Symeonidis, Daskalakis뫍Markellos (2008)뗄퇐뺿믹놾튻훂ꆣSymeonidis, et al. (2008)뗷닩쇋좫쟲26룶막욱붻틗쯹쯹퓚뗘뗄퓆닣쟩뿶뛔쫐뎡횸쫽웚좨틾몬늨뚯싊뗄펰쿬ꎬ뷡맻랢쿖웤훐폐17룶쫐뎡뗄맘쾵쫇쿔훸뢺쿠맘뗄ꎬ퓆닣뢲룇싊믘맩쾵쫽튲쫇쿔훸틬폚쇣뗄ꆣ쳬웸횸뇪뛔쫐뎡늨뚯싊뗄펰쿬샠쯆폚뛔뮻쫖싊뗄펰쿬ꆣ쳬뿕퓆닣풽뛠ꆢ쳬웸ힴ뿶풽닮ꎨ죧쿂톩믲쿂폪뗈ꎩꎬ죋쏇쟩탷뗍실ꎬ뇤뗃늻쓇쎴풸틢붻틗ꎬ떼훂쫐뎡늨뚯싊뇤킡ꎻ쿠랴ꎬ쪪뛈뫍럧쯙뛔늨뚯싊뗄펰쿬쫇헽쿲뗄ꆣ 10
뇭3 쫐뎡쫕틦싊폫쳬웸횸뇪뗄죕쓚럖쪱뛎믘맩 뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 CCd *** ** () () () () () () () [] [] [] [] [] [] [] TEMPd * () () () () () () () [] [] [] [] [] [] [] HUMd * () () () () () () () [] [] [] [] [] [] [] PREd * () () () () () () () [] [] [] [] [] [] [] VISd ** * () () () () () () () [] [] [] [] [] [] [] WSPd () () () () () () () [] [] [] [] [] [] [] DIRd () () () () () () () [] [] [] [] [] [] [] SNOWd *** * () () () () () () () [] [] [] [] [] [] [] RAINd () () () () () () () [] [] [] [] [] [] [] Intercept ** * ** () () () () () () () R2(%) N 7876 1367 1308 1291 1308 1300 1302 힢ꎺ놻뷢쫍뇤솿쫇짏횤횸쫽퓚룷룶쪱뛎뗄쫕틦싊ꎻ랽삨뫅ꎨSquare Bracketsꎩ쓚쫇랽닮엲헍틲ퟓꎻ풲삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard Errorꎩꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꎻ 뇭4 쫐뎡뮻쫖싊폫쳬웸횸뇪뗄죕쓚럖쪱뛎믘맩 뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 CCd *** * ** * () () () () () () () [] [] [] [] [] [] [] TEMPd *** ** *** *** *** *** *** () () () () () () () [] [] [] [] [] [] [] HUMd *** *** *** *** *** *** *** () () () () () () () [] [] [] [] [] [] [] PREd *** *** *** ** *** () () () () () () () [] [] [] [] [] [] [] VISd () () () () () () () [] [] [] [] [] [] [] WSPd *** *** *** *** *** *** *** () () () () () () () [] [] [] [] [] [] [] DIRd *** ** ** ** *** ** * () () () () () () () [] [] [] [] [] [] [] 11
뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 SNOWd ** *** *** *** *** () () () () () () () [] [] [] [] [] [] [] RAINd * ** () () () () () () () [] [] [] [] [] [] [] Intercept *** *** *** *** *** *** *** () () () () () () () R2(%) N 7778 1264 1311 1291 1310 1300 1302 힢ꎺ놻뷢쫍뇤솿쫇짏횤횸쫽퓚룷룶쪱뛎뗄뮻쫖싊ꎻ랽삨뫅ꎨSquare Bracketsꎩ쓚쫇랽닮엲헍틲ퟓꎻ풲삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard Errorꎩꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꆣ 뇭5 쫐뎡뮻쫖싊폫컂뛈뗄훰퓂럖쪱뛎믘맩 퓂럝 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 튻퓂 *** ** *** *** *** *** *** () () () () () () () 뛾퓂 *** ** *** *** *** ** *** () () () () () () () 죽퓂 *** * ** *** ** *** ** () () () () () () () 쯄퓂 () () () () () () () 컥퓂 *** *** *** *** ** *** *** () () () () () () () 쇹퓂 *** *** *** *** *** *** () () () () () () () 웟퓂 *** * ** () () () () () () () 냋퓂 * () () () () () () () 뻅퓂 ** ** () () () () () () () 쪮퓂 *** * () () () () () () () 쪮튻퓂 * ** * () () () () () () () 쪮뛾퓂 *** ** ** * ** () () () () () () () 힢ꎺ놻뷢쫍뇤솿쫇짏횤횸쫽퓚룷룶쪱뛎뗄뮻쫖싊ꎻ삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard Errorꎩꎻ쿞폚욪럹ꎬ놾뇭쎻폐놨룦CCd뗈웤쯻쳬웸횸뇪뗄믘맩쾵쫽ꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꆣ 뇭6 쫐뎡뮻쫖싊폫벾뷚탔쟩탷컉싒뗄맘쾵 뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 CCd ** * ** () () () () () () () TEMPd *** ** *** *** *** *** *** () () () () () () () HUMd *** *** *** *** *** *** *** () () () () () () () 12
뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 PREd *** *** *** *** () () () () () () () VISd () () () () () () () WSPd *** *** ** ** ** ** *** () () () () () () () DIRd *** ** *** *** *** ** ** () () () () () () () SNOWd *** *** *** *** *** *** () () () () () () () RAINd * () () () () () () () SAD *** *** *** *** *** *** *** () () () () () () () Intercept *** *** *** *** *** *** *** () () () () () () () N 7777 1264 1311 1291 1309 1300 1302 Pseudo R2 힢ꎺ놻뷢쫍뇤솿쫇짏횤횸쫽퓚룷룶쪱뛎뗄뮻쫖싊ꎻ풲삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard Errorꎩꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻSAD쫇벾뷚탔쟩탷컉싒횸뇪뗄탩쓢뇤솿ꎬ듓쎿쓪12퓂21죕-듎쓪6퓂20죕캪1ꎬ웤폠쪱볤캪0ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꆣ 뇭7 쫐뎡늨뚯싊폫쳬웸횸뇪뗄죕쓚럖쪱뛎믘맩 뇤솿 쪱뛎 9:30-15:00 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 CCd *** ** *** *** *** ** () () () () () () [] [] [] [] [] [] TEMPd () () () () () () [] [] [] [] [] [] HUMd *** *** *** *** *** *** () () () () () () [] [] [] [] [] [] PREd *** *** ** *** () () () () () () [] [] [] [] [] [] VISd () () () () () () [] [] [] [] [] [] WSPd *** *** *** ** *** *** () () () () () () [] [] [] [] [] [] DIRd *** * * ** () () () () () () [] [1..12] [] [] [] [] SNOWd * *** *** * ** () () () () () () [] [] [] [] [] [] RAINd *** * *** * () () () () () () [] [] [] [] [] [] Intercept *** *** *** *** *** *** () () () () () () R2(%) N 6514 1311 1291 1310 1300 1302 힢ꎺ놻뷢쫍뇤솿쫇짏횤횸쫽퓚룷룶쪱뛎뗄쫐뎡늨뚯싊ꎻ랽삨뫅ꎨSquare Bracketsꎩ쓚쫇랽닮엲헍틲ퟓꎻ풲삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈 13
붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard Errorꎩꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꆣ 뇭8 짏횤횸쫽쫕틦싊폫쳬웸횸뇪뗄죕쓚럖쪱뛎Logit믘맩 뇤솿 쪱뛎 9:30-15:00 9:30 9:30-10:00 10:00-11:00 11:00-11:30 13:00-14:00 14:00-15:00 CCd () () () () () () () TEMPd ** ** () () () () () () () HUMd () () () () () () () PREd ** ** () () () () () () () VISd () () () () () () () WSPd ** ** * () () () () () () () DIRd () () () () () () () SNOWd Na Na () () Na Na () () () RAINd () () () () () () () Intercept *** ** *** () () () () () () () N 7944 1318 1310 1289 1307 1298 1300 Pseudo R2 힢ꎺ삨뫅ꎨParenthesesꎩ쓚쫇틬랽닮-컈붡뇪ힼ컳ꎨHeteroskedasticity-robust Standard ErrorꎩꎻNa뇭쪾틲퇹놾솿첫짙뛸컞램맀볆ꎻ9:30-15:00뗄믘맩쫇붫쯹폐룷쪱뛎쫽뻝믬뫏ꎨPooledꎩ뫳뗄믘맩ꎬ늢럇9:30-15:00룷뇤솿욽뻹횵뗄믘맩ꎻ* 뇭쪾쿔훸탔쮮욽10%ꎻ** 뇭쪾쿔훸탔쮮욽5%ꎻ*** 뇭쪾쿔훸탔쮮욽1%ꆣ 쫐뎡쫕틦폫쳬웸횸뇪뗄Logit믘맩 캪쇋퇩횤쫕틦싊폫쳬웸횸뇪횮볤뗄럻뫅맘쾵ꎬ컒쏇릹퓬쇋죧쿂Logit믘맩ꎺ Cdel+lTEMPd+lHUMd+lPREd1234+l5VISd+l6WSPd+l7WDIRd+l8SNOWd+l9RAINdtttttttttP(RET>0)= ꎨ4ꎩ t1+el1Cd+l2TEMPd+lHUMd+lPREd+lVISd+lWSPd+lWDIRd+lSNOWd+lRAINdtt3t4t5t6t7t8t9t듓뇭8뗄믘맩뷡맻뾴ꎬCCd뗄쾵쫽뚼늻쿔훸ꆣ뛸컂뛈횸뇪TEMPd폫쫕틦싊뇭쿖돶튻뚨뗄헽쿠맘탔ꆣ틲캪퓚7룶믘맩쾵쫽훐ꎬ횻폐튻룶캪뢺ꎬ웤폠뻹캪헽ꆣ듓Logit믘맩뗄쳘헷에뛏ꎬ죧맻TEMPd쾵쫽뗄럻뫅럾듓뛀솢뛾쿮럖늼ꎨP=ꎩꎬ퓲돶쿖튻룶캪뢺ꆢ웟룶캪헽뗄룅싊캪C1157−17⋅⋅0.=%ꎬ퓚춳볆짏ꎬ헢쫇룶킡룅싊쫂볾ꆣ틲듋ꎬ뿉틔췆뛏컂뛈폫쫕틦싊뗄좷듦퓚헽쿲맘쾵ꎬ웤폠뇤솿뗄럻뫅폫뇭3믹놾튻훂ꎬ떫쿔훸탔늻룟ꆣ 믹폚퓆닣뗄막욱붻틗닟싔 캪뷸튻늽볬퇩퓆닣뛔막욱쫕틦싊뗄펰쿬ꎬ닎헕Hirshleifer뫍Shumway (2003)뗄랽램ꎬ컒쏇릹퓬쇋믹폚쳬웸뗄붻틗닟싔ꎬ틔뾼달쫇럱뿉틔룹뻝쳬웸ힴ뿶릹퓬뻟폐펯샻쓜솦뗄붻틗닟싔ꎿ캪볲뮯웰볻ꎬ컒쏇쿈늻뾼싇붻틗돉놾ꎬ늢볙뚨뿉틔싴뿕막욱ꎬ뻟쳥늽훨죧쿂ꎺ쫗쿈볆쯣쎿룶붻틗죕쎿쳬퓧짏8:00-10:00웚볤짏몣뗘쟸퓆닣뢲룇싊뗄욽뻹횵ꎬ퓆닣뢲룇싊뗄욽뻹횵퓚1-5횮볤ꎻ좻뫳붫퓆닣뢲룇싊킡폚뗈폚3뗄붻틗죕뚨틥캪뫃쳬웸ꎬ듳폚3뗄붻틗죕뚨틥캪뮵쳬웸ꎻ춶헟룹뻝맛달떽뗄쳬웸ꎬ뿉틔톡퓱죽룶붻틗닟싔ꎺ 14
ꊡꎩ뫃쳬웸싲죫닟싔ꎺ죧맻떱쳬쫇뫃쳬웸ꎬ퓲틔뾪엌볛싲죫막욱ꎬ늢틔쫕엌볛싴돶막욱ꎻ죧맻떱쳬쫇뮵쳬웸ꎬ퓲늻붻틗ꎻ ꊢꎩ뮵쳬웸싴돶닟싔ꎺ죧맻떱쳬쫇뮵쳬웸ꎬ퓲틔뾪엌볛싴뿕막욱ꎬ늢틔쫕엌볛싲죫막욱욽닖ꎻ죧맻떱쳬쫇뫃쳬웸ꎬ퓲늻붻틗ꎻ?ꊣꎩ뫃뮵쳬웸뻹싲싴닟싔ꎺ죧맻떱쳬쫇뫃쳬웸ꎬ퓲틔뾪엌볛싲죫막욱ꎬ늢틔쫕엌볛싴돶막욱ꎻ죧맻떱쳬쫇뮵쳬웸ꎬ퓲틔뾪엌볛싴뿕막욱ꎬ늢틔쫕엌볛싲죫막욱욽닖ꆣ ퟮ뫳붫룷붻틗죕뗄쫕틦싊틔솬탸뢴샻랽쪽솬돋ꎬ뗃돶퓚퇹놾웚볤뗄샛볆쫕틦싊ꆣ 볆쯣뇭쏷ꎬ뫃쳬웸싲죫햽싔뗄샛볆쫕틦싊캪%ꎬ뮵쳬웸싴돶햽싔뗄샛볆쫕틦싊%ꎬ뛸룹뻝쳬웸ힴ뿶뫃뮵럖뇰뷸탐싲뿕믲싴뿕ꎬ샛볆쫕틦싊캪%ꆣ쮵쏷횻폐떱쳬웸ힴ뿶뷏뫃쪱ꎬ믹폚쳬웸뗄붻틗닟싔닅쓜룸춶헟듸살헽뗄쫕틦ꎬ뮵쳬웸뗄닟싔늢늻ퟠ킧ꆣ튻떩볓죫붻틗돉놾ꎬ죧틔‰ꎨ붻틗쯹맦뚨늻뎬맽3‰ꎩ뗄붻틗펶뷰볆쯣ꎬ퓲쯹폐닟싔뗄샛볆쫕틦싊뻹캪뢺횵ꆣ 5 뷡싛 죋샠뗄믮뚯샫늻뾪듳웸뮷뺳ꎬ틲듋ꎬ쳬웸뛔폚죋쏇뗄쟩탷뫍뻶닟쓋훁춶탐캪뚼뻟폐펰쿬ꎬ죧Howarth뫍Hoffman (1984)죏캪쪪뛈ꆢ컂뛈뫍퇴맢뗈틲쯘뚼뛔죋쏇뗄쟩탷닺짺펰쿬ꆣ떫틑폐뗄맘폚쳬웸폫막욱쫐뎡맘쾵뗄퇐뺿듳뛠벯훐폚ퟶ쫐짌쫐뎡ꎬ쟒붻틗쫽뻝살ퟔ죕볤쫽뻝ꆣ놾컄톡좡횸쇮쟽뚯뗄짏몣막욱쫐뎡죕쓚붻틗쫽뻝뛔쳬웸폫막욱쫐뎡뗄뛌웚펰쿬뷸탐쇋퇐뺿ꆣ컒쏇랢쿖ꎬ쳬웸뛔폚막욱뚨볛뗄ퟷ폃늢늻쏷쿔ꎬ돽컂뛈뫍벫뛋쳬웸ꎨ죧쿂폪믲쿂톩ꎩ뗈췢ꎬ냼삨퓆닣뢲룇싊퓚쓚뗄웤쯻쳬웸횸뇪뛔막욱쫕틦쎻폐펰쿬ꆣ틲듋ꎬ컒쏇죏캪쳬웸틲쯘뛔횸쇮쟽뚯붻틗쫐뎡막욱뚨볛뗄펰쿬튪킡폚뛔ퟶ쫐짌쫐뎡뗄펰쿬ꆣ웤풭틲뿉쓜살ퟔ솽룶랽쏦ꎺퟶ쫐짌쫐뎡뗄싲싴놨볛평벸뫵뒦폚춬튻뗘쟸뗄ퟶ쫐짌쳡릩ꎬ틲듋ꎬ떱뗘쳬웸춨맽뛔헢킩닎폫죋쟩탷뗄펰쿬뛸볤뷓펰쿬떽막욱볛룱ꎬ뛸횸쇮쟽뚯뗄솬탸붻틗쫐뎡훐ꎬ잱퓚뗄붻틗뚩떥평럖즢퓚룷뗘뗄춶헟횱뷓쳡붻ꎬ뺡맜짏몣뗘쟸뗄붻틗뷰뛮햼폐폅쫆ꎬ떫짐늻ퟣ틔쿔훸펰쿬떽쫐뎡볛룱뗄탎돉ꎻ쳬웸뛔폚막욱뚨볛뗄펰쿬쫇뛌퓝뗄ꎬ떼훂죕쓚붻틗쫽뻝폫죕볤붻틗쫽뻝죧Saunders (1993)뗄럖컶뿉쓜듦퓚닮틬ꆣ늻맽ꎬ쳬웸뛔폚웤쯻붻틗탐캪죧뮻쫖싊뫍늨뚯싊뻟폐쏷쿔뗄펰쿬ꆣ떱퓆닣뢲룇싊뷏룟틔벰폶떽뛱쇓쳬웸ꎨ죧쿂폪믲쿂톩뗈ꎩ쪱ꎬ죋쏇뗄붻틗믮뚯복짙쇋ꎬ쫐뎡쇷뚯탔뫍늨뚯싊뚼뇈뷏뗍ꎬ평뗘쟲릫쯹듸살뗄죕헕쪱볤뇤뮯틽웰뗄벾뷚탔쟩탷컉싒튲믡펰쿬떽춶헟뗄붻틗믮뚯ꎬ죕헕쪱볤풽뎤ꎬ춶헟풽풸틢듓쫂막욱붻틗ꆣ컒쏇뗄퇐뺿뇭쏷ꎬ춶헟맘폚닺뫏샭뚨볛뗄에뛏늻틗쫜떽쳬웸펰쿬ꎬ떫쯻쏇뗄붻틗탐캪뇈뷏죝틗쫜쳬웸펰쿬ꎬ듓뛸퇩횤쇋Lucey뫍Dowling (2005)맘폚ꆰ춶헟쟩탷펰쿬뻶닟늢늻뗈볛폚쟩탷펰쿬닺뚨볛ꆱ뗄맛뗣ꆣ 닎뾼컄쿗 몫퓳쿘. (2005). 훐맺횤좯쫐뎡횸쫽쫕틦쳬웸킧펦쪵횤퇐뺿. 놱뺩몽뿕몽쳬듳톧톧놨ꎨ짧믡뿆톧냦ꎩ, 18(2), 10-14. 틇뒹쇖, 췵볒. (2005). 쳬웸ꆢ벾뷚탔쟩탷믬싒폫막욱쫕틦. 춳볆폫뻶닟, 3, 79-82. 훜뫳뢣. (1999). 웸뫲뇤뮯뛔죋쳥붡뾵펰쿬뗄ퟛ뫏횸뇪첽쳖. 웸뫲폫뮷뺳퇐뺿, 1, 121-126. Allen, M., & Fischer, G. (1978). Ambient Temperature Effects on Paired Associate Learning. Ergonomics, 21(2), 95-101. Barclay, M., & Litzenberger, R. (1988). Announcement effects of new equity issues and the use of intraday price data. Journal of Financial Economics, 21(1), 71–99. Busse, J., & Clifton Green, T. (2002). Market efficiency in real time. Journal of financial economics, 65(3), 415-437. Cao, M., & Wei, J. (2005). Stock market returns: A note on temperature anomaly. Journal of banking and finance, 29(6), 1559-1573. Chang, S., Chen, S., Chou, R., & Lin, Y. (2008). Weather and intraday patterns in stock returns and trading activity. Journal of banking and finance, 15
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White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica: Journal of the Econometric Society, 817-838. Wooldridge, J. (2008). Introductory econometrics: a modern approach: South-Western Pub. Wright, W., & Bower, G. (1992). Mood effects on subjective probability assessment. Organizational Behavior and Human Decision Processes, 52(2), 276-291. Wyndham, C. (1969). Adaptation to heat and cold. Environmental Research, 2(5-6), 442-469. Does Weather have Impact on Returns and Trading Activities in Order Driven Stock Market? Abstract This paper uses multiple linear regression, logit regression and trading strategy to study the influence of weather on intraday trading activities of order-driven stock market. The analysis shows that except temperature and extreme weather, many weather indicators including cloud cover have little effect on pricing of stocks. On the other hand, the fact that weather and Seasonal Affective Disorder have heavy influence on turnover and volatility supports the view that feelings influencing investor decision-making does not necessarily equate to feelings having an effect on equity prices. Key Words Weather Effect Seasonal Affective Disorder Stock Market Behavioral Finance 17
