臺灣博碩士論文加值系統

有許多研究指出天氣影響投資者的情緒與風險態度，進而影響其行為與決策。因此，探討天氣變化如何影響風險偏好，進而影響不同類型投資者處置效果是本研究的主軸。在這篇文章中，我們探討兩個假設。首先，我們檢測不同類型投資者是否存在不同程度的處置效果。接著，我們檢測天氣如何影響不同類型投資者的處置效果。我們使用台灣期貨交易所的資料進行分析，並發現國內法人及國內散戶有顯著的處置效果，且相較於國內法人，國內散戶有較強的處置效果。另外，我們發現溫度和國內法人及國內散戶的處置效果有正向關聯；降雨量和國外法人的處置效果有正向關聯；日照程度和國內散戶的處置效果有正向關聯。實驗結果顯示天氣影響不同類型投資者的處置效果。

There are many studies indicated that weather influences investors’ mood and risk attitude, which then affect investors’ behavior and decision-making. The purpose of this paper is to research how weather influences disposition effect of different types of investors in the futures market through its effect on risk preference. In this paper, we examine two hypotheses. First, we test whether disposition effect may vary across different types of investors. Second, we test how weather influences disposition effect of different types of investors. Using the dataset from TAIFEX, we find both domestic corporations and domestic individuals have significant disposition effect. Domestic individuals have higher disposition effect than domestic corporations. Moreover, we find there is positive relationship between temperature and disposition effect of both domestic corporations and domestic individuals. There is positive relationship between rain and disposition effect of foreign institutions. There is positive relationship between sunshine and disposition effect of domestic individuals. The results indicate that weather influences disposition effect of different types of investors.

1 Introduction 1
1.1 Motivation 1
1.2 Objective 3
2 Literature Review 4
2.1 Prospect Theory 4
2.2 Disposition Effect 6
2.3 Weather 9
3 Data and Methodology 10
3.1 Data Description 10
3.2 Research Methodology 12
3.3 Hypotheses Development 15
4 Empirical Results 19
4.1 Disposition Effect of Four Types of Investors 19
4.2 The Effect of W eather on Disposition Effect 21
5 Conclusion 30
6 References 32

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