臺灣博碩士論文加值系統

本研究係延伸Ferris, Haugen and Makhija (1988) 模型來探討已開發國家及開發中國家是否存在處分效果，並比較兩者之間處分效果的強弱。
根據實證研究結果發現以下兩個:

第一、存在處分效果的市場包括: 阿根廷、智利、希臘、香港、印尼、巴基斯坦、瑞典、泰國、土耳其。而處分效果較不完全且傾向於短線操作的市場，包括:奧地利、比利時、巴西、加拿大、中國、德國、法國、匈牙利、愛爾蘭、日本、墨西哥、南非、西班牙、英國。而處分效果較不明顯的市場，包括:澳大利亞、捷克共和國、芬蘭、印度、以色列、義大利、韓國、虛森堡、馬來西亞、荷蘭、挪威、菲律賓、波蘭、葡萄牙、俄羅斯、新加坡、瑞士、台灣、美國、委內瑞拉。另外，處分效果不存在的國家包括紐西蘭、秘魯。

第二、開發中國家的處分效果大於已開發國家。探究其原因，我們認為，在已開發國家中較具效率性，且投資人取得訊息的成本較低，訊息流通速度較快，投資人可以更理性的做投資決策。相對上，在開發中國家中的投資人所做的投資決策較不理性。

關鍵字: 行為財務、處分效果、交易量

This paper uses the methodology derived from Ferris, Haugen and Makhija (1988) to test whether the disposition effect exists in major developed markets and emerging markets, and compare the disposition effect degree between developed markets and emerging markets.

Empirical Results are as follows:

First, we find that some countries does exist the disposition effect, such as Argentina, Chine, Greece, Hong Kong, Indonesia, Pakistan, Sweden, Thailand, Turkey. And some markets are prone to “short-term trading” or “speculative trading”, such as Austria, Belgium, Brazil, Canada, China, Denmark, France, Hungary, Ireland, Japan, Mexico, South Africa, Spain, and United Kingdom. In addition, some markets does exist incomplete the disoposition effect, such as Australia, Czech Republic, Finland, India, Israel, Italy, Korea, Luxembourg, Malaysia, Netherlands, Norway, Philippines, Poland, Portugal, Russia, Singapore, Switzerland, Taiwan, USA, and Venezuela. However, some markets doesn’t exist the disposition effect, such as New Zealand and Peru.

Second, the disposition effect in emerging markets is stronger than developed markets. To figure out the reason, in the developed markets, investors are more informed and the markets are more efficient, investors can make the investment decisions more rationally. Comparatively, in the emerging markets, investors make the investment decisions more irrationally.

Keyword: Behavioral Finance, Disposition Effect, Trading Volume

Table of Content…………………………………………………………………………………i
Chapter 1 Introduction…………………………………………………………………………1
1.1 Background……………………………………………………………………………………1
1.2 Motivation……………………………………………………………………………………2
1.3 Goals and Contributions …………………………………………………………………3
1.4 Research Framework ………………………………………………………………………4
Chapter 2 Literature Review …………………………………………………………………6
2.1 Disposition Effect Related Works………………………………………………………6
2.1.1 Prospect Theory …………………………………………………………………………6
2.1.2 Mental Accounting ………………………………………………………………………9
2.1.3 Regret Effect……………………………………………………………………………10
2.1.4 Self-Control ……………………………………………………………………………11
2.2 Disposition Effect ………………………………………………………………………11
2.3 Disposition Effect Testing Models……………………………………………………14
Chapter 3 Research Methodology ……………………………………………………………19
3.1 The Research Design………………………………………………………………………19
3.1.1 Model and Variable Definition………………………………………………………19
3.2 Research Subjects, Sources of Data and Research Period ………………………23
3.2.1 Research Subjects………………………………………………………………………23
3.2.2 Sources of Data and Research Period………………………………………………25
3.3 Research Limitations ……………………………………………………………………25
Chapter 4 Empirical Results and Analysis ………………………………………………26
4.1. Analysis The Dispositon Effect for Each Market…………………………………26
4.2. Analysis the Disposition Effect between Developed Markets and Emerging Markets……………………………………………………………………………………………35
Chapter 5 Conclusions and Suggestions……………………………………………………40
5.1 Conclusions…………………………………………………………………………………40
5.1.1 Results of The Disposition Effect for Each Market……………………………40
5.1.2 Results of The Disposition Effect Between Developed Markets and Emerging Markets……………………………………………………………………………………………42
5.2 Suggestions…………………………………………………………………………………42
5.2.1 For Investors …………………………………………………………………………42
5.2.2 For Further Research …………………………………………………………………43
References ………………………………………………………………………………………44
Appendix …………………………………………………………………………………………48

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