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研究生:劉致辰
研究生(外文):Chih-Chen Liu
論文名稱:台灣期貨交易人錯置效果之實證
論文名稱(外文):The Disposition Effects of Investors in Taiwan''s Futures Market
指導教授:林希偉林希偉引用關係
指導教授(外文):Shi-Woei Lin
學位類別:碩士
校院名稱:元智大學
系所名稱:企業管理學系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2006
畢業學年度:95
語文別:中文
論文頁數:59
中文關鍵詞:錯置效果展望理論效用理論期貨市場行為偏誤
外文關鍵詞:disposition effectprospect theoryutility theoryfuture marketsbehavioral bias
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自從1985年 Shefrin and Statman 提出了投資人之錯置效果 (disposition effect) 行為偏誤後,許多學者已就不同市場進行相關的實證研究,然國內至今並無期貨市場投資人錯置效果的相關研究,若直接將外國的相關研究套用於本地的市場,因其政經文化之不同,不僅解釋力不足,亦可能造成謬誤。
本研究取得了台灣期貨市場2004年12月16日至2005年12月21日(即2005年全年期貨契約交易日期)之總體統計資料及個人交易資料,並分別利用Weber and Camerer (1998) 及Odean (1998) 的方法進行實證分析。除了探討投資人是否具有錯置效果之外,也針對投資人錯置效果與報酬間的相關性進行分析。
在總體統計資料的分析部份,我們並未發現投資人存有顯著的錯置效果,其中可能的原因之一是我們在使用總體統計資料進行計算時加入了過多強烈的假設,以致於影響實證結果。
相對的,在利用個體交易資料進行分析時,我們發現無論是使用數量計算法或是金額計算法,在期貨市場的五個族群裡,本國自然人、證券商及本國投信三種類型的投資人具有顯著的錯置效果,本國法人及外國投資人的投資行為則與錯置效果的預期方向相反。這個發現和過去文獻中指出專業的投資人的較不易產生錯置效果的結論尚稱一致。而在投資人的錯置效果與報酬的相關檢定中,則發現錯置效果的強弱與報酬之高低並沒有明顯的相關性,我們推論期貨市場的特性可能是造成此一結果的部份原因。
While the rationality assumption posits that an investor makes a decision on the basis of his or her expected utility, the decision maker’s real action usually deviates from what is predicted by utility theory. One of the behavioral patterns arising from this line is the propensity of traders to hold losing investments too long and to sell winning investments too early, a phenomenon known as the disposition effect. Although there is a large amount of research concerning the disposition effect over the past two decades, and a few studies have worked on this behavioral bias in futures markets in Western countries, none of the literature has ever focused on the disposition effect in Taiwan’s futures market.
In this thesis, we empirically study the investors’ disposition effect in Taiwan''s futures market. In particular, we adopt and extend both the metrics suggested by Weber and Camerer (1998) and Odean (1998) to measure this behavioral bias.
Partially due to the strong assumptions made in calculating the disposition coefficient, no significant disposition effect can be found in the aggregate data provided by Taiwan Futures Exchange. However, when analyzing individual investor’s trading records, we found that the natural persons tend to sell more wining positions than losing positions, indicating a significant disposition effect. On the other hands, the artificial person’s trading behavior exhibits an opposite effect. These results are consistent with what was reported in previous studies. Finally, when investigating the relationship between the behavioral bias and the corresponding investment performance, we found that the tendency of loss aversion dose not significantly affect the performance.
中文書名頁------------------------------------------------i
英文書名頁-----------------------------------------------ii
授權書--------------------------------------------------iii
博碩士論文授權書-----------------------------------------iv
論文口試委員審定書----------------------------------------v
誌謝-----------------------------------------------------vi
中文摘要------------------------------------------------vii
英文摘要-------------------------------------------------ix
目錄-----------------------------------------------------xi
表目錄--------------------------------------------------xiv
圖目錄---------------------------------------------------xv
第一章、緒論----------------------------------------------1
第二章、文獻回顧------------------------------------------3
第一節 錯置效果理論基礎---------------------------------3
壹 展望理論(Prospect Theory)------------------------3
貳 心理帳戶(Mental Account)-------------------------5
參 逃避後悔(Regret Aversion)------------------------6
肆 自我控制(Self Control)---------------------------6
第二節 錯置效果實證文獻---------------------------------7
壹 股票市場(Stock Market)---------------------------7
貳 期貨市場(Future Market)-------------------------10
參 相關文獻評析與彙整--------------------------------11
第三章、 投資人錯置效果之研究與實證-以總體資料為分析樣本14
第一節 背景介紹----------------------------------------14
第二節 資料來源與處理----------------------------------16
壹 資料簡介------------------------------------------16
貳 資料假設與限制------------------------------------18
參 資料處理------------------------------------------18
第三節 研究方法----------------------------------------19
壹 研究假設------------------------------------------19
貳 變數定義與計算方式--------------------------------19
第四節 實證結果----------------------------------------21
壹 樣本整體之錯置效果--------------------------------21
貳 投資人於多空時期的投資行為------------------------25
第五節 小結--------------------------------------------26
第四章、 投資人錯置效果之研究與實證-以個人交易為分析樣本27
第一節 資料來源與處理----------------------------------27
第二節 研究方法----------------------------------------28
壹 研究假設------------------------------------------28
貳 檢定方式------------------------------------------29
第三節 實證結果----------------------------------------32
壹 整體市場之錯置效果--------------------------------32
貳 個別族群之錯置效果--------------------------------35
參 錯置效果與報酬之關係------------------------------37
第四節 小結--------------------------------------------38
第五章、 結論與建議--------------------------------------40
第一節 結論--------------------------------------------40
壹 錯置效果之實證結果--------------------------------40
貳 錯置效果與報酬之關聯性----------------------------42
第二節 研究貢獻----------------------------------------42
壹 於學術上之研究貢獻--------------------------------42
貳 於實務上之研究貢獻--------------------------------43
第三節 研究限制----------------------------------------43
第四節 研究建議----------------------------------------43
參考文獻-------------------------------------------------45
中文部份
1.沙勝毅,「台灣股票市場散戶與外資投資心理之比較研究」
,私立銘傳大學,碩士論文,民國89年。
2.夏清田,「台灣證券交易所投資人交易行為與股票報酬關係之研
究」,國立政治大學,碩士論文,民國90年。
3.許祐瑞「台灣股市散戶與三大法人錯置效果之研究」,國立高雄
第一科技大學,碩士論文,民國91年。
4.謝宗益,「台灣股市月份效應之再研究—集團因素、規模因素暨
產業因素之實證分析」,國立成功大學碩士論文,民國97年。
5.台灣期貨交易所 http://www.taifex.com.tw/chinese/home.htm

英文部分
1.Andreassen, P. “Explaining the Price-Volume
Relationship: The Difference between Price Changes and
Changing Prices,” Organizational Behavior and Human
Decision Processes, 41, pp. 371 – 389, 1988.
2.Coval, J. and T. Shumway, “Do behavioral biases affect
prices?” Journal of Finance, 60, pp. 1-34, 2005.
3.Ferris P., A. Haugen, and K. Makhija, “Predicting
Contemporary Volume with Historic Volume at Differential
Price Levels: Evidence Supporting the Disposition
Effect,” The Journal of Finance, 43, pp.677-697, 1988.
4.Frino, A., D. Johnstone and H. Zheng, “The propensity
for local traders in futures markets to ride losses:
Evidence of irrational or rational behavior?” Journal
of Banking & Finance, 28, pp. 353-372, 2004.
5.Garvey, R. and A. Murphy, “Are Professional Traders Too
Slow to Realize Their Losses?” Financial Analysts
Journal, 60, pp. 35-43, 2004.
6.Genesove, D. and C. Mayer, “Loss aversion and seller
behavior: Evidence from he housing market,” Quarterly
Journal of Economics, 116, pp. 1233-1260, 2001.
7.Glick, I. “A Social Psychological Study of Futures
Trading,” Ph. D. Dissertation., University of
Chicago,1957.
8.Grinblatt, M. and M. Keloharju, “What Makes Investors
Trade?” The Journal of Finance, 56, pp. 589-616, 2001.
9.Heisler, J. “Loss aversion in a future market: An
empirical test,” Review of Future Markets, 13, pp. 793-
826, 1994.
10.Kahneman, D. and A. Tversky, “Prospect Theory: an
Analysis of Decision under Risk,” Econometrica, 47,
pp.263-291, 1979.
11.Lakonishok, J., and S. Smidt, “Volume for Winners and
Losers: Taxation and Other Motives for Stock Trading,”
The Journal of Finance, 41, pp. 951-974, 1986.
12.Lee, I.“Stock market seasonality: Some evidence from
the Pacificbasin countries,” Journal of Business
Finance & Accounting, 19, 199-210, 1992
13.Locke, P. and S. Mann, “Professional trader discipline
and trade disposition,” Journal of Financial
Economics, 76, pp. 401-444, 2005.
14.Locke, P. and Z. Onayev, “Trade duration: Information
and Trade Disposition,” The Financial Review, 40, pp.
113-129, 2005.
15.Odean, T. “Are Investors Reluctant to Realize Their
Losses?” The Journal of Finance, 53, pp. 1775-1798,
1998.
16.Shapira, Z. and I. Venezia, “Patterns of behavior of
professionally managed and independent investors,”
Journal of Banking and Finance, 25, pp 1573-1587, 2001.
17.Shefrin, H., and M. Statman, “The Disposition to Sell
Winners Too Early and Ride Losers Too Long:Theory and
Evidence,” The Journal of Finance, 40, pp. 777-792.
1985.
18.Shu et al. “Are Taiwanese Individual Investors
Reluctant to Realize Their Losses”, Pacific-Basin
Finance Journal, 13, pp. 201-223, 2005.
19.Schlarbaum et al. “Realized Returns on Common Stock
Investments: The Experience of Individual Investors.”
Journal of Business, 51, pp. 299 – 325, 1978.
20.Weber, M., and F. Camerer, “The Disposition Effect in
Securities Trading: an Experimental analysis,"Journal
of Economics Behavior & Organization, 33, pp. 167-184,
1998
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