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研究生:蔡尚儒
研究生(外文):Tasi-shang Ju
論文名稱:熟悉感與投資行為:以台灣股票市場散戶投資人為例
論文名稱(外文):Familiarity and Investment Behavior: Evidence from Individual Investors in Taiwan
指導教授:徐苑玲徐苑玲引用關係
指導教授(外文):Hsu-yuen Ling
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:68
中文關鍵詞:熟悉感性別市場條件時間損失趨避
外文關鍵詞:FamiliarityGenderMarket ConditionTimingLoss Aversion
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本研究分析探討2005年1月至2006年12月台灣股票市場中,散戶投資人之熟悉感現象,實證研究發現散戶購買股票確實會受到過去交易的影響,有傾向購買過去那些曾經交易過的股票,換句話說就是偏好購買他自己所熟悉的股票。將投資人加以分類分析後,發現男性散戶投資人之熟悉感現象顯著高於女性;投資經驗愈長其熟悉感現象愈顯著;交易愈頻繁或交易量愈大的投資人其熟悉感現象愈顯著。此外,熊市情況下的熟悉感現象顯著高於牛市;投資人對於最近交易過的股票感到最為熟悉,所以近期交易過的股票比較早期交易過的股票有較高的購買意願。
This paper studies familiarity behavior revealed by individual investors in Taiwan stock market from January, 2005 to December, 2006. Empirical results show that individual investors’ buying behavior is influenced by their past trading, in other words, they tend to buy stocks that they are familiar. Our findings suggest that male investors exhibit stronger familiarity effect than female investors. Those who have longer investment experience tend to buy more familiar stocks than those with shorter investment experience. Individual investors that have higher turnover rate tend to buy more familiar stocks than investors with lower turnover rate. Moreover in the bear market investors tend to buy more familiar stocks than in the bull market. Finally, individual investors are most familiar with the stocks that they just have traded , so they have to buy stronger tendency than those they have been traded a period of time ago.
第一章、緒論.......................1
第一節 研究動機與目的.............1
第二節 研究架構...................5
第二章、文獻探討...................7
第一節 投資熟悉的範疇.............7
第二節 性別相關文獻..............12
第三節 可獲性捷思................14
第三章、研究方法..................17
第一節 資料來源..................17
第二節 研究假說..................18
第三節 研究變數定義..............21
第四節 迴歸分析..................25
第四章、實證結果分析..............26
第一節 樣本結構與敘述性統計......26
第二節 熟悉感....................28
第五章、結論......................52
第六章、研究限制與建議............55
參考文獻..........................56
一、中文部份
1.林建廷(2007),「市場條件對投資人處分效果之影響」,國立成功大學國際企業研究所碩士論文。
2.郭敏華、郭迺鋒、邱耀初、范秉航 (2005),「性別與台灣市場投資人行為之研究」,台灣財務金融季刊。
3.袁正達 (2005),「認知失調與處置效應之行為研究:以台灣股票投資人為例」,世新大學財務金融學系碩士論文。
4.陳俊宏(2006),「散戶與機構投資人之損失趨避行為在台指期貨市場之探討」,國立成功大學國際企業研究所碩士論文。
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6.劉淑旅(2003),「錯置效果與過度自信之實證-以高週轉率共同基金之短期表現為例」,私立實踐大學企業管理研究所碩士論文。
7.賴麗玲(2002),「錯置效應與過度自信之實證─以高週轉率共同基金經理人之表現為例」,私立實踐大學企業管理研究所碩士論文。

二、英文部分
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29.Massa, M. and A. Simonov, 2006, “Hedging, Familiarity and Portfolio Choice”, The Review of Financial Studies, 19, 633-685.
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31.Mcqueen, G., M. Pinegar, and S. Thorley, 1996, “Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns”, Journal of Finance, 3, 889-919.
32.Shu, P. G., Y. H. Yeh, S. B. Chiu, and H. C. Chen, 2005 “Are Taiwanese Individual Investors Reluctant to Realize Their Losses? ” Pacific-Basin Finance Journal(FLI), 13, 201-223.
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35.Tesar, L. L., and I. M. Werner, 1995, “Home Bias and High Turnover”, Journal of International Money and Finance, 14, 467-492.
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