||This thesis investigates the disposition effect of domestic individual traders, foreign investors, investment trust companies and futures proprietary merchants in the Taiwan Futures Exchange (TAIFEX). We find that domestic individual traders and futures proprietary firms exhibit disposition effects. In contrast, foreign investors and domestic institution investors do not have disposition effect. During different states of market, we find that, domestic individual traders and foreign investors have disposition effect in the bear market, and the disposition effect in bear market is stronger than that in the bull market, implying futures traders’ disposition effect will be relatively weaker in the bull market, and the market state does affect the investment behavior of domestic individual traders and foreign investors. Compared to other types of investors, domestic institutions (or investment trust companies) are on the opposite side of a coin, domestic institutional investors have different results from other types of investors. This may be attributed to that domestic institutions’’ main purpose of trading futures is for hedging. Finally, investors with more transaction experiences seem not to show weaker disposition effect.|
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