風險對散戶投資人過度自信的影響

The Impact of Risk on Individual Investors' Overconfidence

蔡永順(Tsai, Yung-Shun) ； 陳彥宸(Chen, Yan-Chen) ； 張俊評(Chang, Chun-Ping) ； 臧仕維(Tzang, Shyh-Weir)

《藝見學刊》 21期 (2021/04) Pp. 51-68

https://doi.org/10.6207/ART-VISION.202104_(21).051-068

摘要

過度自信是投資人決策偏差的一種表現，且會衝擊市場交易量與價格。而台灣有諸多學者亦檢驗出台灣股票市場具有過度自信現象。其中，外在風險條件與個人認知不同，均會造成過度自信的差異。所以，本研究擬探討市場與投資標的風險高低對過度自信的影響；以及觀察不同認知的散戶投資人其過度自信行為是否不同。我們運用VAR模型觀察交易量與報酬的變動關係，來檢驗過度自信。實證結果顯示，臺灣股市前一期報酬率與當期的週轉率呈現正向相關，與過去其他相關論文研究結果一致，表示臺灣股市具有過度自信的情形。其次，當市場風險愈高時，過度自信的程度也愈高。另外，投資標的的風險愈高則過度自信愈明顯。再者，融資比重較高的個股，過度自信較明顯。

關鍵字

風險 ； 融資融券 ； 過度自信 ； 散戶

並列摘要

Overconfidence is a manifestation of investor decision-making bias, and it will impact market transaction volume and prices. Many scholars in Taiwan have also tested the phenomenon of overconfidence in the Taiwan stock market. Among them, the external risk conditions and personal cognition are different, which will cause the difference of overconfidence. Therefore, this study intends to explore the impact of market and investment target risk levels on overconfidence; and observe whether individual investors with different perceptions have different overconfidence behaviors. We use the VAR model to observe the relationship between transaction volume and returns to test overconfidence. The empirical results show that the return of the Taiwan stock market in the previous period is positively correlated with the current turnover, which is consistent with the results of other related papers in the past, indicating that the Taiwan stock market is overconfident. Second, the higher the market risk, the higher the degree of overconfidence. In addition, the higher the risk of the investment target, the more obvious the overconfidence. Besides, stocks with a higher proportion of financing are more overconfident.

並列關鍵字

risk ； Margin transaction ； overconfidence ； individual investor