| 摘要: | 新冠肺炎（COVID-19）是由一種名為SARS-CoV-2的冠狀病毒引起的疾病。這種病毒最初於2019年在中國湖北省武漢市爆發，並迅速傳播到全球。截至2023年5月6日，全球已經有超過3.7億例確診病例和超過580萬死亡病例；台灣身為國際社會中的一份子，更是無法置身事外。
資料來源為台灣經濟新報(TEJ)中台灣股市大盤報酬率(月)資料及融資交易(日)資料，期間2010年1月至2023年3月(資料涵蓋新冠疫情及俄烏戰爭)；主要從散戶投資人的『處置效果』、『過度自信』、『從眾效應』等變數探討台灣股市散戶投資人面對新冠疫情時的決策行為改變是否會對大盤報酬率造成影響。本研究的結果發現：
一、 疫情及俄烏戰爭等事件變數對於大盤(月)報酬率並無顯著影響；但對於大盤(周)報酬率為負向且顯著影響。
二、 處置效果係數與大盤報酬率呈現正向關係且在疫情期間依然顯著;不論是否在事件發生地當下，散戶投資人均有賣完股票而大盤報酬率繼續漲的現象。
三、 從眾效應係數與大盤報酬率呈現正向關係，且結果是顯著的；過度自信係數與大盤報酬率呈現正向關係，但是並不顯著。
四、 排除人為決策上賣得太早及過度操作的行為模式，選擇貼近大盤指數的投資組合看來是種不錯的投資策略。
;Abstract:
COVID-19, caused by a coronavirus known as SARS-CoV-2, is a disease that emerged in Wuhan, Hubei Province, China in 2019 and quickly spread globally. As of May 6, 2023, there have been over 370 million confirmed cases and over 5.8 million deaths worldwide. Taiwan, as part of the international community, has also been affected by this pandemic.
The data for this study is sourced from Taiwan Economic Journal (TEJ), including the Taiwan stock market′s monthly return rate and margin trading data from January 2010 to March 2023 (covering the COVID-19 pandemic and the Russo-Ukrainian war). The study primarily explores the changes in decision-making behavior of retail investors in the Taiwan stock market, focusing on variables such as "disposition effect," "overconfidence," and "herding behavior," to determine if these changes impact the overall market return rate. The results of this research are as follows:
(1)Variables such as the pandemic and the Russo-Ukrainian war do not significantly affect the overall monthly market return rate. However, they do have a negative and significant impact on the weekly market return rate.
(2)The coefficient of the disposition effect shows a positive relationship with the market return rate, and this relationship remains significant during the pandemic period. Regardless of whether investors are in the epicenter of the events or not, retail investors tend to sell stocks prematurely while the market return rate continues to rise.
(3)The coefficient of herding behavior shows a positive and significant relationship with the market return rate. The coefficient of overconfidence also shows a positive relationship but is not statistically significant.
(4)By excluding behavioral patterns characterized by selling too early and excessive trading, selecting an investment portfolio that closely aligns with the overall market index appears to be a favorable investment strategy.
Keywords: COVID-19, disposition effect, overconfidence, herding behavior |
