Shefrin and Statman(1985)提出投資者有處置效應(disposition effect)的 行為偏誤後,許多學者開始投入相關的研究,在不同的國家、市場進行實證的研究,國內在股市上的投資者處置效應研究不少,台灣期貨市場在民國87年七月二十一日推出第一個期貨商品至今約十餘年,相關研究較少。 本研究以台灣期貨市場為例,採用Weber and Camerer(1998)的研究方法,從資料庫取得2007年7月至2009年4月總體的統計資料,針對台指、電子期、金融期三樣主要商品,透過計算處分係數,進行顯著性檢定,對整體期貨自營商是否具有處置效應作實證,檢視台灣期貨自營商是否符合理性行為。 實證結果顯示: (1)期貨自營商交易行為存在處置效應。 (2)交易量較大的期貨商品之處置效應較其他商品強烈。 (3)於春節期間的處置效應較為顯著。
This research is base on the disposition coefficient from Weber and Camerer(1998), and we use the database from Taiwan Economic Journal Co.(TEJ).The research period is from July, 2007 to April, 2009, and focus on three futures TX、TE、TF. Therefore, we would like to discuss the trading psychology of futures dealers. We tried to examine the disposition effect of institutional trader by using the trading data of dealers in Taiwan futures market and the impact of anomalies in the futures market to dealers’s trading decision. Empirical Results: (1) Dealers have the disposition effect of the Taiwan futures market; (2) the disposition effect of largest trading volume of futures is stronger than other futures; (3) the disposition effect in the Chinese Lunar New Year period is stronger than other months.