The Relationship between Human Behavior and Stock Returns in Efficient Stock Markets: the Mood-effect under a Cultural Perspective

• Autorzy: Chamil W. Senarathne , Wei Jianguo

Warianty tytułu

Związek pomiędzy ludzkim zachowaniem a zwrotem z akcji na efektywnych giełdach: efekt nastrojów w perspektywie kulturowej

• Języki publikacji: EN

Abstrakty

EN

This paper examines the relationship between stock return and human behavior in ten well-established stock exchanges, from a monthly data sample from January 1991 to December 2015. The results show that there is no sufficient evidence to generalize the impact of human behaviour on common stock return, through mood state altered by weather variables. When the substance of the underlying process (i.e. the weather alters the mood state) is established by logit regression, the results reveal that there is a bias in the variable selection as regressors, which is subject to the metrological situation of each country (or region). As such, collectivism does not appear to be an explanatory variable of the magnitude of price changes, as a variable uncontrolled for in the regression. Although the null hypothesis is accepted for four countries in the sample, the findings do not warrant researchers to generalize the effect of human behavior on stock price changes through weather variables, for a large population.(original abstract)

W tym artykule zbadano związek między zwrotem z akcji a ludzkim zachowaniem na przykładzie dziesięciu uznanych giełd, opierając się na miesięcznej próbce danych z okresu od stycznia 1991 r. do grudnia 2015 r. Wyniki pokazują, że nie ma wystarczających dowodów, aby uogólnić wpływ ludzkich zachowań wywołanych zmiennymi warunkami pogodowymi na zwrot z akcji zwykłych. Gdy zasada leżąca u podstaw procesu (tzn. pogoda zmienia stan nastroju) jest ustalana przez regresję logitów, wyniki ujawniają, że w wyborze zmiennych jako regresorów występuje nastawienie zależne od sytuacji metrologicznej każdego z krajów (lub regionów). Kolektywizm jako taki nie wydaje się zmienną wyjaśniającą wielkość zmian cen jako zmienną niekontrolowaną w regresji. Chociaż hipoteza zerowa w badanej próbie została przyjęta dla czterech krajów, odkrycia te nie upoważniają badaczy do uogólnienia wpływu ludzkich zachowań na zmiany cen akcji przez zmienne pogodowe, dla dużej populacji.(abstrakt oryginalny)

Słowa kluczowe

EN

Stock exchange; Consumer behaviour

PL

Giełda; Zachowania konsumenta

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2019
• Numer: nr 2 (63)
• Strony: 207--220

Twórcy

autor

Chamil W. Senarathne

• School of Economics, Wuhan University of Technology

autor

Wei Jianguo

• School of Economics, Wuhan University of Technology

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Identyfikatory

DOI

10.15611/pn.2019.2.18