恐懼減緩處分效果

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姓名

王乃毅(Nai-Yi Wang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

恐懼減緩處分效果
(Investor Fear and the Mitigation of Disposition Effect)

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摘要(中)

過去有相當多探討處分效果的文獻，然而多為探討投資人特性與處分效果的關係或是處分效果對於市場的影響，鮮少有文獻探討市場交易資訊對於處分效果的影響，針對台灣期貨市場的討論也不多，因此本文將針對台灣期貨市場處分效果行為做更多橫斷面、時序和市場交易資訊的探討。本文希望能透過市場日內波動度、成交量和未平倉口數等資訊協助投資人瞭解在不同市況下犯處分效果行為的程度，並且避免類似情況發生，間接的也能減少市場的雜訊。本文結果為空倉情況交易越果決的投資人及交易頻率越低的投資人其處分效果越不明顯，且散戶在空倉交易中最容易發生處分效果；台灣期貨市場如台股市場，前期處分效果越強，其當期處分係果也越強；空倉交易中，前期報酬越高則該期處分效果越弱；市場越波動投資人將因實現損失提高而減緩處分效果，其中投資人在多倉情況下更易因為市場波動而減緩處分效果，散戶更不容易因為市場波動而減緩處分效果；牛市下市場波動減緩處分效果更明顯。

摘要(英)

The disposition effect issue had been studied in many countries and different markets. However, most of them mainly discussed the relationship between investors’ character and disposition effect or the aftermath of market-wide disposition. We still understand nothing about how the trading information affect our behavior of disposition. Additionally, there were few studies of disposition in Taiwan Futures Market (TAIFEX). In this article, we will discuss the disposition in cross-section, time-series and public trading information in TAIFEX. The purpose is to observe the disposition effect of individuals, domestic institutions and foreigners under the condition of different trading volume, open interests, spread and intra-day volatility to assist the investors to avoid such bias. The results are investors with more trading amounts every trade and who are individuals in short position less tend to dispose; Time-series results are also significant as literature found in Taiwan Stock Exchange, the bias persisted for one to two days and are in inversely proportion to past return (under short position); Investors are more likely to realize loss when the market is more volatile, and therefore induce heavier disposition, especially in long position. We finally found mitigation of disposition for individuals are stronger than other type of investors. In the end, we prove the mitigation is also stronger in bull market condition.

關鍵字(中)

★ 處分效果
★ 台灣期貨市場
★ 市場波動度

關鍵字(英)

★ Disposition Effect
★ Taiwan Futures Market
★ Volatility

論文目次

目錄
中文摘要 i
英文摘要 ii
致謝詞 iii
目錄 iv
表格 v
第一章前言 1
第二章文獻回顧 3
第一節處分效果 3
第二節投資人特性 4
第三節市場資訊 5
第四節假說 6
第三章資料說明 8
第四章方法 10
第一節處分效果 10
第二節變異數 13
第五章實證結果 14
第一節橫斷面 14
第二節時序關係 15
第三節市場波動影響 16
第四節牛熊市 17
第六章結論 19
參考文獻 21

參考文獻

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2018-1-3

推文