Does microtherm boost pharmaceutical companies' market capitalization returns?

作者：Kao, Yu Sheng; Sun, Hao Yang^*; Nieh, Chien Chung; Zhao, Kai

来源：Applied Economics, 2018, 50(14): 1522-1535.

DOI：10.1080/00036846.2017.1368988

• Microtherm
• pharmaceutical stocks
• threshold model
• GJR-GARCH model

The purpose of this study was to survey the relationship between the temperature factors and market capitalization returns of pharmaceutical companies by analysing both the daily and weekly frequency data in Taiwan. The threshold regression model with the GJR-GARCH process was applied for examination in this study; we found that pharmaceutical companies' market capitalization returns could be boosted after exposure to extremely low temperatures for a period of time. Besides, the delayed effect of cold weather is demonstrated to exist. This phenomenon can be illustrated by epidemiological evidence-related mental factors, not by traditional behavioural finance. Moreover, lower weekly average temperatures are beneficial for investors to gain weekly pharmaceutical companies' market capitalization returns. We are of the opinion that our findings offer an insightful suggestion for investors to buy pharmaceutical stocks at an opportune moment.

• 出版日期2018
• 单位华侨大学