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| 研究生： |
倪詩荏 Ni, Shih Jen |
|---|---|
| 論文名稱： |
處置效果與過度自信之研究─以臺灣期貨市場為例 A Study of Disposition Effect and Overconfidence in Taiwan Futures Markets |
| 指導教授： |
陳威光
Chen, Wei Kuang 林靖庭 Lin, Ching Ting |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 英文 |
| 論文頁數： | 46 |
| 中文關鍵詞： | 處置效果 、過度自信 、期貨市場 、金融海嘯 |
| 外文關鍵詞： | disposition effect, overconfidence, futures markets, financial crisis |
| 相關次數： | 點閱：228 下載：19 |
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過去的實證研究顯示交易人行為並非完全理性，因此，為了研究臺灣期貨市場投資人的交易行為，本篇論文利用期貨合約日內交易資料，探討臺灣期貨交易人的處置效果及過度自信之關係，並將期貨交易人身分類別分為國內法人、散戶、自營商及外資。
此外，本文更深入探討投資人的交易行為是否受交易量及市場情況影響，因此進一步將資料做不同方向的分類。首先，將散戶依照交易量再分群，以探討不同交易量的散戶族群的交易行為是否不同，另外，我們也將資料區間分為金融海嘯前與金融海嘯期間，藉此觀察金融海嘯是否對交易行為有所影響。
本篇論文研究結果顯示，（1）國內法人及散戶有較強烈的處置效果，而自營及外資則較弱。（2）依據投資績效結果顯示，自營商的交易量大，卻損失慘重，相較之下，明顯地具有過度自信。（3）交易量大的散戶會有較低的處置效果，但會較具過度自信。（4）機構投資人於金融海嘯期間會降低其處置效果及過度自信，而散戶則具有相反的表現。
Previous literatures indicate that investors don’t exhibit rationally. To understand investors’ behaviors in Taiwan futures markets, we use intraday trading records from TAIFEX to examine the disposition effect and overconfidence across investor types. We focus on four investor types including domestic institutions, individuals, proprietaries and foreigners.
To shed some light on trading behaviors of investors, we further discuss whether investors’ behaviors are influenced by trading volume or market conditions. We further separate the individuals by their trading volumes to analyze whether trading behaviors are different. Meanwhile, we also divide our sample period into two sub-periods─before and during financial crisis, to investigate the change of trading behaviors across investor types.
The main contributions of this study are that (1) the retail investors, namely domestic institutions and individuals, exhibit more disposition effect on futures contracts. However, the professional institutions, including proprietaries and foreigners, display less disposition effect. (2) Proprietaries trade more, but they lose enormously. It appears that proprietaries demonstrate overconfidence. (3) Individual investors with higher trading volume have the lower disposition effect, but higher overconfidence. (4) Overall, institutions reduce disposition effect and overconfidence on most of contracts during financial crisis. In contrast, individual investors perform worse and display more overconfidence.
1.INTRODUCTION 1
2.LITERATURE REVIEW 3
2.1 Disposition Effect 3
2.2 Overconfidence 6
3.DATA and METHODOLOGY 9
3.1 Data 9
3.2 Methodology 11
4.EMPIRICAL ANALYSIS 15
4.1 All Trading Activities 15
4.1.1 Descriptive Statistics 15
4.1.2 Disposition Effect 18
4.1.3 Performance 21
4.2 Trading Activities of Individuals by Groups by Volume 24
4.2.1 Descriptive Statistics 24
4.2.2 Disposition Effect 27
4.2.3 Performance 29
5. Robustness 32
5.1. Descriptive Statistics 32
5.2 Disposition Effect 37
5.3 Performance 40
6. CONCLUSION 43
REFERENCES 45
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