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研究生:戚竣傑
研究生(外文):Chun-Chieh Chi
論文名稱:散戶與三大法人之處份效果研究:以台灣加權股價指數期貨為例
論文名稱(外文):Disposition Effect of Individual and Institutional Investors:Evidence from the Taiwan Futures Market
指導教授:高櫻芬高櫻芬引用關係
指導教授(外文):Yin-Feng Gau
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:67
中文關鍵詞:行為偏誤空頭市場多頭市場處份效果期貨市場
外文關鍵詞:Behavioral biasesBear marketBull marketDisposition effectFutures market
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本論文透過台灣加權指數期貨資料,探討台灣散戶與三大法人的處份效果現象。研究結果顯示,國內散戶與自營商存在明顯的處份效果,而國外機構投資人與國內投信則沒有明顯的處份效果。另外進一步區分市場狀態後,散戶以及國外機構投資人皆在空頭市場狀態下存在處份效果,且空頭市場下的處份效果大於多頭市場下的處份效果,顯示在多頭市場下,處份效果較弱,說明了市場狀態對於散戶及國外機構投資人而言,是會影響其行為決策的因素。國內投信的結果與其他類別投資人之結果相反,我們認為其原因可能是國內投信操作期貨的主要目的為避險用途。另外,交易經驗較豐富的投資人似乎並未顯示較弱的處份效果。
This thesis investigates the disposition effect of domestic individual traders, foreign investors, investment trust companies and futures proprietary merchants in the Taiwan Futures Exchange (TAIFEX). We find that domestic individual traders and futures proprietary firms exhibit disposition effects. In contrast, foreign investors and domestic institution investors do not have disposition effect. During different states of market, we find that, domestic individual traders and foreign investors have disposition effect in the bear market, and the disposition effect in bear market is stronger than that in the bull market, implying futures traders’ disposition effect will be relatively weaker in the bull market, and the market state does affect the investment behavior of domestic individual traders and foreign investors. Compared to other types of investors, domestic institutions (or investment trust companies) are on the opposite side of a coin, domestic institutional investors have different results from other types of investors. This may be attributed to that domestic institutions'' main purpose of trading futures is for hedging. Finally, investors with more transaction experiences seem not to show weaker disposition effect.
中文摘要 ………………………………………………………… i
英文摘要 ………………………………………………………… ii
目錄 ………………………………………………………… iii
圖目錄 ………………………………………………………… v
表目錄 ………………………………………………………… vi
第一章 緒論…………………………………………………… 1
第一節 研究動機……………………………………………… 1
第二節 研究目的……………………………………………… 1
第三節 研究架構……………………………………………… 2
第二章 文獻回顧……………………………………………… 4
第一節 投資人行為偏誤……………………………………… 4
一、 處份效果……………………………………………… 4
二、 過度自信……………………………………………… 7
第二節 探討議題……………………………………………… 8
第三章 研究方法……………………………………………… 11
第一節 資料…………………………………………………… 11第二節 方法…………………………………………………… 12
一、 處份效果……………………………………………… 12
二、 牛市和熊市…………………………………………… 14
三、 交易人經驗…………………………………………… 16
四、 實驗假說……………………………………………… 17
第四章 實證結果……………………………………………… 19
第一節 處份效果……………………………………………… 19
第二節 市場多頭與空頭之處份效果………………………… 19
第三節 交易人經驗之處份效果……………………………… 22
第五章 討論…………………………………………………… 24
第六章 結論…………………………………………………… 28
參考文獻 ………………………………………………………… 30
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