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| 中英文篇名/Title | 投資人情緒與股市崩盤：來自日照生物學的觀點 Investor Sentiment and Stock Market Crashes: Evidence from Heliobiology |
| 論文屬性/Type | 研究論文 Research Article |
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| 頁碼/Pagination | - |
| 摘要/Abstract | 本研究探討太陽活動與股市崩盤之間過去較少被關注的關係。既有文獻指出，太陽相關現象可透過天氣、地磁變動、紫外線輻射及農業產出等管道影響投資人情緒，但其與極端市場下跌之關聯仍缺乏實證。本文以美國股市資料為基礎，發現太陽活動與市場崩盤的發生頻率與嚴重程度之間存在顯著負向關係，且在不同滾動視窗、崩盤定義及觀察期間下皆具穩健性。進一步分析顯示，低太陽活動期間伴隨較高流動性不足與波動性。此一關係亦適用於其他已開發市場，顯示太陽活動可作為預測極端市場風險之潛在指標。 This study examines the previously unexplored relation between solar activity and stock market crashes. While prior literature documents that solar phenomena can influence investor sentiment through channels such as weather conditions, geomagnetic fluctuations, ultraviolet radiation, and agricultural output, evidence on their link to extreme market downturns remains scarce. Using U.S. stock market data, we document a significant and inverse association between solar activity and both the frequency and severity of market crashes. This relation remains robust across alternative rolling-window specifications, varying definitions of market crashes, and different horizons of solar activity. We further show that periods of low solar activity are associated with heightened market illiquidity and volatility. The relation between solar activities and market crashes applies to other developed stock markets. These results highlight solar activity as a potential and novel predictor of extreme market risk. |
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