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| 研究生： |
李家齊 |
|---|---|
| 論文名稱： |
先前損失與後續交易行為: 以臺灣期貨市場為例 Prior Losses and subsequent trading behavior of different types of traders: Evidence from the Taiwan Futures Exchange |
| 指導教授： | 周冠男 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2013 |
| 畢業學年度： | 101 |
| 語文別： | 英文 |
| 論文頁數： | 33 |
| 中文關鍵詞： | hedonic editing |
| 相關次數： | 點閱：121 下載：37 |
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Using a dataset from TAIFEX, Taiwan Futures Exchange, we conduct an account-level analysis of the relation between prior loss consequences and subsequent trading behaviors. We apply two proxy variables of trading activities into our analysis, which are trade size and number of trades. We find that the degree of prior losses has a great effect upon trade size and trading number on the next trading day. This finding proves to the evidence that hedonic editing hypothesis sometimes fails and there are some limitations for it. We further examine for different trader types and the empirical results show that individual investors exhibit the strongest bias while other trader types do uncertainly. We also find the behavioral bias is a persistent phenomenon for individual investors. Overall, our study suggests that prior loss degree has a significant influence on investors’ following trading behaviors.
List of Figures III
List of Tables IV
1. Introduction 1
1.1 Motivation 1
1.2 Objectives 2
1.3 Outline 2
2. Literature Review 4
2.1 Prospect Theory 4
2.2 Mental Accounting 6
2.3 Hedonic Editing 6
2.4 The Failure of Hedonic Editing－Quasi-Hedonic Editing 10
2.5 Trader Types 11
3. Data and Methodology 12
3.1 Data Description 12
3.2 Research Methodology and Hypotheses 13
4. Empirical Results 16
4.1 All Investors by Trade Size and Number of Trades 16
4.2 Trader Types by Trade Size and Number of Trades 19
4.3 Robustness checks 25
5. Conclusion 31
References 32
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