台灣期貨市場處份效果之研究

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：12

、訪客IP：18.191.254.0

姓名

陳勇志(YUNG-CHIH CHEN) 查詢紙本館藏

畢業系所

經濟學系

論文名稱

台灣期貨市場處份效果之研究
(Take Gain, Ride Loss? The Disposition Effect in Taiwan Futures Market)

相關論文

★ 消費財富效果不對稱分析: 馬可夫轉換共同趨勢模型之應用	★ 股票市場報酬與波動性外溢效果分析
★ 中國大陸勞動合同法與企業所得稅法對台商的衝擊與因應	★ 結構FAVAR模型與台灣貨幣政策分析
★ 通貨膨脹率預測:考慮結構變動之動態因子模型應用	★ 匯率因子與市場基要之預測表現
★ 台灣大小公司報酬與流動性之實證研究	★ 台灣外匯暨股票市場流動性與景氣循環關係之探討
★ 台灣經濟成長率之混合頻率預測-MIDAS迴歸應用	★ 油價對匯率預測能力之分析
★ 重新驗證遠期匯率不偏性假說: Bonferroni Q 檢定之應用	★ 寡占廠商成本歧異下之最適產業與貿易政策
★ The Macroeconomic Effects of Foreign Direct Investment	★ 平行輸入、仿冒與服務品質
★ 經濟成長、消費者信心與銀行風險	★ 台灣動態隨機一般均衡模型之實證研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

很明顯的，有許多投資人在證券市場表現出來的投資行為，無法由傳統效率市場假說理論所解釋，而肇因於心理因素的行為是非常值得的課題。本文探討在台灣期貨市場中，投資人是否存在處份效果(disposition effect)。處份效果是Kahneman及Tversky兩位學者在1979年提出的展望理論(prospect theory)中所衍生出來的一種行為偏誤，其指出投資人有偏好實現帳面上升值(winner)的權益部位，而同時傾向留住帳面上有損失(loser)的部位。我們使用台灣期貨交易所提供之2001/1/1至2006/12/31交易記錄(共有超過9仟8佰萬筆記錄及將近24萬個交易帳戶)，並由cross-section及time-series角度進行處份效果研究。實證結果發現：除了2002年，整體投資人並沒有文獻上指出的處份效果。進一步將投資人區分為不同類群，我們發現散戶(Individuals)也得到類似整體投資人的結果；外資(Foreign Investors)在六年時間裡也不存在處份效果；證券投信(Investment Trust Companies)在2004年至2006年間不存在處份效果現象；然而，我們無從判斷證券自營商(Securities Dealers)是否存在處份效果。儘管我們得到與大部份研究證券市場及期貨市場處份效果文獻不一致的結果，我們提出許多理由加以解釋，此為本文主要貢獻之一。

摘要(英)

Apparently, some behavior of investors in financial markets can’t be explained by traditional efficiency market theory. Such psychological biases showed in investors’ behavior are worth of investigation. This paper investigates whether individual investors exhibit disposition effect, a phenomena extending from Kahneman and Tversky’s (1979) prospect theory describing the propensity to hold losing investments too long while selling winning investments too soon, in futures market in Taiwan Futures Exchange (TAIFEX). Using completely six years, from 1 January 2001 to 31 December 2006, transaction history of all investors from TAIFEX, over 98 million trading data and nearly 240,000 accounts are examined. Different from previous studies in stock market and futures market in foreign countries or in Taiwan, we find that from cross-sectional and time-series analysis aggregate investors in Taiwan futures market do not have disposition effect, except in year 2002. Individual investors have the same results as aggregate investors. Foreign Investors do not have the propensity to sell winners fasters than losers during the six years. Investment Trust Companies do not have disposition effect from 2004 to 2006. We can not tell whether Securities Dealers have disposition effect or not because of insignificant results. We provide some explanations why aggregate investors do not exhibit disposition effect.

關鍵字(中)

★ 處份效果
★ 展望理論
★ 行為偏誤
★ 台灣期貨市場
★ 散戶
★ 機構法人

關鍵字(英)

★ behavioral bias
★ futures market
★ individuals
★ institutions
★ disposition effect
★ prospect theory

論文目次

Chapter 1 Introduction 1
1.1 Motivation 2
1.2 Main Results 2
Chapter 2 Behavioral Finance and Prospect Theory 4
2.1 Behavioral Finance 4
2.2 The Prospect Theory 5
2.2.1 The Value Function 6
2.2.2 The Decision Weighting Function 7
2.3 The Disposition Effect 7
Chapter 3 Literature 8
3.1 Disposition Effect in Stock Market 8
3.2 Disposition Effect in Futures Market 9
Chapter 4 The Data 12
4.1 Transaction Regulations 12
4.2 Market Participators 15
Chapter 5 Statistical Mothod 19
Chapter 6 Empirical Results and Discussions 24
6.1 Results for Independence Assumption at Transaction Level 24
6.2 Results for Independence Assumption at Accounts Level 27
6.3 Results for Time-series Analysis 29
6.4 Discussions 30
6.4.1 The Rational Explanation of No Disposition Effect 31
6.4.2 Belief of Mean Reversion 32
6.4.3 The Cognitive Dissonance Explanation 33
6.4.4 The Institutional Explanation 35
Chapter 7 Conclusions 39
Appendix 61
Reference 64

參考文獻

Banz, R., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
Barber, B. and T. Odean, 1999, The courage of misguided convictions, Financial Analysts Journal November/December, 41-55.
Barber, B., Y. T. Lee, Y. J. Liu, and T. Odean, 2007, Is aggregate investor reluctant to realize losses? Evidence from Taiwan, European Financial Management 13, 423-447.
Basu, S., 1977, Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficiency market hypothesis, Journal of Finance 32, 663-682.
Burghardt, G., March/April 2004, FIA annual volume survey: World futures volume soars to new highs... again, Futures Industry magazine, The Futures Industry Association.
Chang, Y. F., The study of Southern Taiwan area amateur investors’ disposition effect in security market of Taiwan, Department of Business Administration, National Pingtung University of Science and Technology, Degree of Master, 2007. (in Chinese)
Chen, C. H., Do individual and institutional investors have loss aversion behavior in the futures market?, Department of Business Administration and Institute of International Business, National Cheng-Kung University, Degree of Mater, 2006.
Chou, P. H., H. Chih, R. Chou, and Y. Gong, 2002, Behavioral Finance: A literature review, Review of Securities and Futures Market 14, 1-48. (in Chinese)
De Bondt, W. and R. Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793-805.
De Bondt, W. and R. Thaler, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.
Frino, A., D. Johnstone, and H. Zheng, 2004, The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?, Journal of Banking & Finance 28, 353-372.
Heisler, J., 1994, Loss aversion in a futures market: An empirical test, Review of Futures Markets 13, 793-826.
Kahneman, D. and A. Tversky, 1979, Prospect theory: An analysis of decision under risk, Econometrica 47, 263-292.
Lin, C. H., T. Y. Cheng, and C. I. Lee, 2008, Profitability, overconfidence, and disposition effect: An examination of individual traders in the Taiwan Futures Exchange, The 16th Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung, Taiwan, December 5~6, 2008.
Lin, P. W., An empirical study on the disposition effect of individual investors in Taiwan stock market, Department of Finance, Chaoyang University of Technology, Degree of Master, 2003. (in Chinese)
Locke, P. and S. Mann, 2005, Professional trader discipline and trade disposition, Journal of Financial Economics 76, 401-444.
Markowitz, H., 1952, The utility of wealth, Journal of Political Economy 60, 151-158.
Mullainathan, S., and R. Thaler, 2000, Behavioral economics, Working paper, Massachusetts Institute of Technology.
Odean, T., 1998, Are investors reluctant to realize their losses?, Journal of Finance 53, 1775-1798.
Reinganum, M., 1981, Misspecification of capital asset pricing: Empirical anomalies based on earnings’ yields and market values, Journal of Financial Economics 9, 19-46.
Shefrin, H. and M. Statman, 1985, The disposition effect to sell winner too early and ride losers too long: Theory and evidence, Journal of Finance 40, 777-790.
Shleifer, A., 2000, Inefficiency markets: An introduction to behavioral finance, Oxford: Oxford University Press.
Weber, M. and C. Camerer, 1998, The disposition effect in securities trading: An experimental analysis, Journal of Economic Behavior & Organization 33, 167-184.
劉偉名, 1999, 從國外股票指數期貨之成功經驗探討國內期指合約設計的方向, 台灣期貨市場, Vol. 1, No. 5, 24-33.
簡美雲, 2003, 臺灣50指數期貨制度規劃, 台灣期貨市場, Vol. 5, No. 3, 3-19.

指導教授

徐之強、周冠男
(CHIH-CHIANG HSU、Robin K. Chou)

審核日期

2009-7-10

推文