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。 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.
