跳到主要內容

臺灣博碩士論文加值系統

(100.28.2.72) 您好!臺灣時間:2024/06/16 06:39
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

: 
twitterline
研究生:吳明倉
研究生(外文):Ming-Tsang Wu
論文名稱:投資人行為對期貨市場流動性之影響:以處分效果與過度自信為例
論文名稱(外文):The Impact of Investors’ Behavior on the Futures Market Liquidity:Evidence on Disposition Effect and Overconfidence
指導教授:蔡蒔銓蔡蒔銓引用關係
指導教授(外文):Shin-Chuan Tsai
學位類別:碩士
校院名稱:國立臺灣師範大學
系所名稱:管理研究所
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:2014
畢業學年度:102
語文別:中文
論文頁數:58
中文關鍵詞:流動性處分效果過度自信委託不均衡
外文關鍵詞:LiquidityDisposition EffectOverconfidenceOrder Imbalance
相關次數:
  • 被引用被引用:5
  • 點閱點閱:584
  • 評分評分:
  • 下載下載:148
  • 收藏至我的研究室書目清單書目收藏:1
本研究旨在探討投資人行為對委託單驅動市場流動性之影響。以台灣期貨市場為例,針對大台指期貨、小台指期貨、金融期貨和電子期貨四個市場分別將具有處分效果與過度自信兩種投資人行為之委託單刪除,計算出刪單前後之整體市場委託不均衡變化量作為流動性代理變數,藉以看出兩種投資人行為對市場流動性供需狀況。
處分效果投資人會急於賣掉有獲利部位而保留有帳面上虧損的部位,因此在處分獲利部位時便產生流動性需求;而過度自信是一群相信自身能力,並且非常看重私有資訊,卻忽略外在訊號的投資人,這種自認唯有資訊的投資人同時扮演著流動性供給與需求的角色,但文獻指出整體而言他們是供給大於需求。實證結果顯示處分效果在大台指期貨和小台指期貨均顯著為流動性需求者,但金融期貨與電子期貨卻不然,其原因可能與這兩個市場的參與者結構有關;而過度自信在四個市場檢驗結果證實他們為流動性供給者,符合我們的預期。
另外,本研究利用交易量、報酬率和波動度等三種市況當作自變數,與兩種投資人行為分別所計算出的流動性當應變數來做TOBIT Model 回歸檢定。我們發現交易量對於所計算出來的流動性幾乎都有影響,但是另外兩個變數檢定結果比較不一致。
This study aims to investigate the impact of investors’ behaviors on the liquidity of order-driven futures market. We delete the orders placed by investors with disposition effect or overconfidence to calculate the changes of market order imbalance in Taiwan Futures Exchange(TAIFEX) including the TAIEX Futures(TX), the mini-TAIEX Futures(MTX), the Finance Sector Futures(TF) and the Electronic Sector Futures(TE), so that we can find out how the two investors’ behaviors affect the market liquidity.
Investors with disposition effect tend to ride losses and realize gains, so there are liquidity needs when closing the profit position; the overconfident investors trust their own trading abilities and overweigh private information. They play a role of liquidity suppliers and demanders simultaneously, but overall, their liquidity supplies exceed demands. The empirical results for TX and MTX show that investors with disposition effect are liquidity demanders. On the other hand, overconfident investors are significantly liquidity suppliers for TX, MTX, TF and TE.
This paper also uses market volume, rate of return and market volatility as explaining variables to regress the market liquidity with TOBIT Model. We find the volume influences market liquidity significantly, while the test results of rate of return and volatility are not consistent with different behaviors.
中文摘要 I
英文摘要 II
目錄 III
圖表目錄 IV
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究架構 5
第四節 研究流程 6
第二章 文獻回顧 7
第一節 流動性 7
第二節 處分效果 8
第三節 過度自信 10
第三章 研究方法 13
第一節 研究資料與樣本篩選 13
第二節 研究變數定義及說明 17
第三節 研究假說 36
第四章 實證結果與分析 38
第一節 單尾平均數t檢定 38
第二節 變數回歸分析 40
第五章 結論與建議 51
第一節 研究結論 51
第二節 研究建議 53
參考文獻 54
附錄一 57
1. 林蒼祥、顧廣平,(2008),期交所股價指數期貨契約最後結算價與最後結算日決定方式之研究,台灣期貨交易所委託專題研究計畫報告。
2. Aitken, M., & Comerton-Forde, C. (2003). How should liquidity be measured? Pacific-Basin Finance Journal, 11(1), 45-59.
3. Amihud, Y., & Mendelson, H. (1989). The Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns. Journal of Finance, 44(2), 479-486.
4. Anand, A., Chakravarty, S., & Martell, T. (2005). Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders. Journal of Financial Markets, 8(3), 288-308.
5. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. Journal of Finance, 61(1), 259-299.
6. Barber, B., & Odean, T. (2000). Too many cooks spoil the profits: The performance of investment clubs. Financial Analyst Journal, 56(1), 17-25.
7. Bloomfield, R., O’hara, M., & Saar, G. (2005). The “make or take” decision in an electronic market: Evidence on the evolution of liquidity. Journal of Financial Economics, 75(1), 165-199.
8. Bortoli, L., Frino, A., Jarnecic, E., & Johnstone, D. (2006). Limit order book transparency, execution risk, and market liquidity: Evidence from the Sydney Futures Exchange. Journal of Futures Markets, 26(12), 1147-1167.
9. Choi, D. (2014). When uninformed trades are asymmetric: The impact of the disposition effect on stock prices. Available at SSRN 1885298.
10. Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. Journal of Finance, 56(2), 501-530.
11. Chuang, W. I., & Lee, B. S. (2006). An empirical evaluation of the overconfidence hypothesis. Journal of Banking & Finance, 30(9), 2489-2515.
12. Cornett, M. M., Schwarz, T. V., & Szakmary, A. C. (1995). Seasonalities and intraday return patterns in the foreign currency futures market. Journal of Banking & Finance, 19(5), 843-869.
13. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. Journal of Finance, 53(6), 1839-1885.
14. Daníelsson, J., & Payne, R. (2012). Liquidity determination in an order-driven market. The European Journal of Finance, 18(9), 799-821.
15. Dhar, R., & Zhu, N. (2006). Up close and personal: Investor sophistication and the disposition effect. Management Science, 52(5), 726-740.
16. Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? Journal of Banking & Finance, 28(2), 353-372.
17. Gervais, S., & Odean, T. (2001). Learning to be overconfident. Review of Financial Studies, 14(1), 1-27.
18. Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71-100.
19. Heisler, J. (1994). Loss aversion in a futures market: An empirical test. Review of Futures Markets, 13(3), 793-826.
20. Hirshleifer, D., & Luo, G. Y. (2001). On the survival of overconfident traders in a competitive securities market. Journal of Financial Markets, 4(1), 73-84.
21. Irvine, P. J., Benston, G. J., & Kandel, E. (2000). Liquidity beyond the inside spread: Measuring and using information in the limit order book. Available at SSRN 229959.
22. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society, 263-291.
23. Kuo, W. Y., & Lin, T. C. (2013). Overconfident individual day traders: Evidence from the Taiwan futures market. Journal of Banking & Finance, 37(9), 3548-3561.
24. Lippman, S. A., & McCall, J. J. (1986). An operational measure of liquidity. American Economic Review, 76(1), 43-55.
25. Locke, P. R., & Mann, S. C. (2005). Professional trader discipline and trade disposition. Journal of Financial Economics, 76(2), 401-444.
26. Odean, T. (1998). Do investors trade too much? Available at SSRN 94143.
27. O’Hara,M.(1995).Market microstructure theory, Cambridge: Blackwell Publisher Inc.
28. Pastor, L., Stambaugh R., 2003. Liquidity risk and expected stock returns. Journal of Political Economy, 111(3) 642-685.
29. Schwartz, R. A. (1988), Equity markets: Structure, Trading, and Performance. New York: Harper & Row, Inc.
30. Shapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), 1573-1587.
31. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of finance, 40(3), 777-790.
32. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual investors reluctant to realize their losses?. Pacific-Basin Finance Journal, 13(2), 201-223.
33. Shumway, T., & Wu, G. (2006). Does disposition drive momentum? University of Michigan, Working Paper.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊