臺灣博碩士論文加值系統

為了解過度交易者如何存活下來，我們分析自然人在台灣期貨交易所(Taiwan Futures Exchange, TAIFEX)金融期貨商品的交易資料。我們將樣本分成兩組，一組是存活下來的人，簡稱「存活者」，另一組是退出市場的人，簡稱「退出者」。透過單一變數簡單迴歸，我們探究交易者獲利對風險的影響，設計出報酬反轉比例及轉虧為盈比例觀察交易者的報酬反轉，並歸納出交易策略。
實證結果發現部分交易者的風險容忍度會隨著損失擴大而增加，也因前期賠錢而在後期增加交易量。而存活者相對於退出者有較高的停損比率，較小的實現損失率，驗證了處置效果的強度確實會影響績效的表現。並且發現存活者與退出者並沒有一定的交易策略；此外，我們亦發現過度自信的假說(overconfidence and trading volume relation)並不太能解釋本研究樣本帳號所創造出來的成交量。

In order to understand that how the traders survive in the futures market, we analyze the individual traders by using the data of finance sector index futures (FXF) in the Taiwan Futures Exchange (TAIFEX). We divide the sample into two groups. One is survivor and the other is non-survivor. Following, we employ the simple regression to test the relationship between profit and risk for the trader. And we use the profit reversal rate and the rate of loss from gain to observe the situation of the profit reverse and find the traders’ strategies.
From empirical results, we find that a part of traders will enhance their tolerance to risk in next period when they have loss in previous period. Besides, these traders will increase their volume in next period when they have loss in previous period. And we find the stop-loss rates of survivors are usually higher than non-survivors. It verufies that the disposition effect will influence profit. Then we understand that there are no specific strategies for survivors and non-survivors. Finally, we find that overconfidence and trading volume relation can explain only a part of the accounts which we select in this paper.

Abstract II
摘要 III
壹、 前言 1
貳、 文獻回顧 3
一、 過度自信 3
二、 過度自信存活研究 3
三、 風險控管與績效 5
四、 動態交易策略 5
參、 研究資料 7
肆、 研究方法 10
一、 獲利(損失)對風險的影響 11
二、 報酬反轉的驗證 13
三、 動量交易策略的驗證 14
伍、 實證結果 15
陸、 結論 23
柒、 參考文獻 41

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