台灣證券市場處分效果之研究

The Disposition Effect in Taiwan Stock Market

胡讚嶽(Tsan-Yueh Hu)

指導教授 ： 邱建良

共同指導教授 ： 李彥賢

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.01091

摘要

Shefrin and Statman (1985)的處分效果，係指投資者傾向對於獲利的股票賣出太快，而當面對產生損失的股票則呈繼續持有的行為傾向。本研究採用Weber and Camerer (1998)提出處分係數法，將參與台灣證券市場的交易人分為機構投資人與散戶投資人，機構投資人又可區分為外資法人、投信法人及自營商，本研究依四種身份類別投資人進行處分效果檢驗，使用t檢定與變異數分析彙總結果，依樣本區間內之資料實證發現，處分效果最明顯者為散戶投資人，自營商次之，而外資法人若其交易內容為台灣五十成份股及其交易量最大之60檔個股時，不存在處分效果，但若是以台灣證券市場全體個股為分析基礎時，存在處分效果，而投信法人則不存在處分效果。

關鍵字

行為財務 ； 處分效果 ； 效率市場

並列摘要

The tendency of investors to sell winning investments too soon and hold losing investments too longe has been labeled the disposition effect by Shefrin and Statman (1985). We employ the disposition coefficient approach proposed by Weber and Camerer (1998) to test the disposition effect of all kinds of investors in Taiwan stock market.
This paper will be involved in the Taiwan stock market traders are divided into the institutional investors and retail investors, institutional investors can be divided into Qualified Foreign Institutional Investors investment trust corporate and dealers, The disposition effect test, according to the four identity types of investments, using the t test and ANOVA analysis of empirical discovery in accordance with the data within the sample interval, the disposition effect is most obvious for individual investors, followed by the dealers. And Qualified Foreign Institutional Investors transaction details for the 50 constituent stocks in Taiwan and its trading volume of the 60 stocks, there is no disposition effect, but if of all stocks in the Taiwan stock market for the analysis of the basis, there is the disposition effect. Investment Trust legal then there is no disposition effect.

並列關鍵字

Disposition Effect ； Behavioral Finance ； Efficient Market

參考文獻

5. 曾瑞弘，(2003)，台灣股市投資人處分效果之研究，靜宜大學會計學系碩士班。

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