本文主要探討天氣對於臺灣股票市場之股價報酬的影響。利用氣溫、濕度與雲量，作為本文所使用之天氣變數。另外，將雲量多寡區分為好天氣與壞天氣，探討天氣好壞對於股票市場報酬的波動性是否有不對稱性的影響。再利用SWARCH模型將兩個股票市場分成高波動與低波動期間，分別探討在兩個不同波動狀態下，天氣對股票報酬是否也有不同之影響。實證結果顯示，不論是全樣本或區分高、低波動狀態樣本，集中市場受到天氣因素的影響都比店頭市場來得小。

This paper investigates the relation between the weather and stock returns in Taiwan. Using the temperature, humidity and cloudiness define the weather effect. The weather influences sentiment and sentiment difference. It helps us to understand the asymmetric effect of the stock returns. Then, we use the SWARCH model that the stock returns has two states (high volatility returns and low volatility returns). We also test the weather has the different influence on the different states.
The results in this paper showed the humidity and the stock return from GreTai Securities Market (GTSM) has the significant negative effect. But there was no influence in the Taiwan Stock Exchange (TSE). Moreover, GTSM has the more influence from the weather than TSE on the full or sub-period sample.