臺灣博碩士論文加值系統

過去的文獻發現，不管是在期貨市場或是股票市場、專業交易者或一般散戶都具有處置效果行為。在股票市場上的研究有Odean (1998) 在所有折扣商的交易帳戶隨機抽出超過一萬個帳號作研究，Barber et al. (2007)以1995年到1999年的台灣股票交易市場的資料為研究對象；而在在期貨市場上有Frino et al. (2004) 以雪梨期貨交易所的三個期貨契約作為研究資料。本文將台灣期貨交易所的散戶資料分別以交易天數、交易量與損益量作細部的劃分，研究投資者在電子指數期貨與金融指數期貨不同風險性商品中是否會有不同的處置效果強度。
我們發現在交易天數較短的投資群與交易量較少的投資群，面對不同的風險性商品會表現出不同強度的處置效果。然而處置效果對績效表現的影響卻是不顯著的。但是研究發現投資者在執行獲利了結對績效會有比較大的影響力；執行損失認賠對績效的影響力比較小。

Found in the literature over the past, whether in the stock market or futures market, professional or general retail traders have disposition effect. In the stock market, Odean (1998) examined more than 10,000 investors account obtained from discount brokerage house, Barber et al. (2007) use the Taiwan stock market information for the study in 1995 and 1999. In futures market, Frino et al. (2004) analyse three futures contracts from Sydney Futures Exchange. In this paper, the Taiwan Futures Exchange data were analyzed by the retail trading days, trading volume and profit and loss for the division of detail, research the risk of investors in the two risk assets have the same disposition effect.
We found that the traders who trade shorter and fewer trading volume have the different disposition effect in the two risk assets. However, disposition effect of the impact of performance is not significant. But the study found that investors taking profits in the implementation of the performance will be relatively large loss of influence in relation to indemnities.

摘要………………………………………………………………………………i
Abstract …………………………………………………………………………ii
目錄………………………………………………………………………………iii
表目錄……………………………………………………………………………iv
第一章、緒論……………………………………………………………………1
第二章、文獻回顧………………………………………………………………3
第一節、處置效果理論基礎………………………………………………3
第二節、處置效果實證文獻………………………………………………5
壹、股票市場的處置效果……………………………………….….5
貳、期貨市場的處置效果…………………………………………..6
第三章、資料與研究方法………………………………………………………7
第一節、資料描述………………………………………………………….7
第二節、研究方法………………………………………………………….8
第四章、實證結果與分析……………………………………………………….11
第一節、交易活動的敘述統計…………………………………………….11
第二節、平倉比率的敘述統計…………………………………………….16
第三節、處置效果………………………………………………………….24
第四節、回歸分析………………………………………………………….28
第五章、結論…………………………………………………………………….32

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