本篇論文利用台灣期貨市場的日內資料，探討散戶、本國機構法人、自營商、以及外資四種身分別的處置效果，以探討他們之間在交易行為上面的異質性。本研究結果發現，散戶與本國機構法人擁有最高的處置效果，而自營商跟外資則具有較低的處置效果。此外，我們更進一步的研究散戶彼此之間的處置效果在程度上是否所有差別，發現利用「僅幫散戶交易之期貨商」下單的散戶的處置效果，會高於利用「同時幫散戶與外資交易之期貨商」下單的散戶的處置效果。我們分別提出三個假設來解釋這個現象：(1) 同時幫散戶與外資交易的期貨商也許會提供更加的服務，來幫助散戶進行投資；(2) 某些散戶擁有的資訊是多於其它散戶的；以及 (3) 與朋友的資訊交流，可以改善自身的投資行為。本篇論文是第一篇以期貨商角度出發探討處置效果之論文。

Using a unique intraday dataset from Taiwan futures markets, this paper calculates the disposition effect to investigate the heterogeneity of trading behaviors among four types of investors: individuals, domestic institutions, proprietaries, and foreigners. The results show that both individuals and domestic institutions exhibit the highest disposition effect. However, the disposition effect is weaker for proprietaries and foreign traders. The evidences also indicate that individuals who use brokers which arrange trades for individual clients only are more affected by the disposition effect than individuals who use brokers that have both individual and foreign clients. We propose three possible explanations: (1) Brokers which arrange trades for both individual and foreign clients may offer better services. (2) Some individuals are more informed than the others. (3) Social connection. This study contributes to literatures on the disposition effect by highlighting the role of brokers.

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