The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan’s stock market performance. The empirical finding of this study could be used to reconfirm the existence of the so-called sunshine effect. The empirical results suggest that the cloud cover has significantly negative impact on Taiwan’s stock market, especially in the low cloud cover periods. Moreover, we also examine the sunshine effect with the consideration of the first and second moments and find that when adding the two moments, the sunshine effect is not significant in the stock returns but in the stock return volatilities, which is different from outcomes in previous studies.behavior finance, stock returns, stock volatility, Sunshine effect, Threshold model

Parallel multisplitting explicit AOR methods for numerical solutions of semilinear elliptic boundary value problems

AbstractA class of parallel multisplitting explicit AOR methods for a large scale system of nonlinear algebraic equations, which is a finite difference approximation of a semilinear elliptic boundary value problem, are presented. This class of methods avoid the inner iteration and are shown to converge monotonically either from above or from below to a solution of the system without the monotonicity property of nonlinearity. Moreover, this class of methods are applicable to the pure Neumann boundary value problems. A sufficient condition for the uniqueness of the solutions is provided. The global convergence of the methods and the influence of the acceleration factor on the convergence rate are considered. The applications and numerical results are given

Accelerated monotone iterative methods for a boundary value problem of second-order discrete equations

AbstractAn accelerated monotone iterative method for a boundary value problem of second-order discrete equations is presented. This method leads to an existence-comparison theorem as well as a computational algorithm for the solutions. The monotone property of the iterations gives improved upper and lower bounds of the solution in each iteration, and the rate of convergence of the iterations is either quadratic or nearly quadratic depending on the property of the nonlinear function. Some numerical results are presented to illustrate the monotone convergence of the iterative sequences and the rate of convergence of the iterations