經驗為良師?股市崩盤期之投資人行為分析

Is Experience the Teacher? An Analysis of Investor Behavior during the Market Crash

蘇育慧(Yu-Hui Su)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10177

摘要

2008年金融風暴重創全球股票市場，台灣加權股價指數在2008年5月19日至11月20日短短130個交易日內跌掉了56%，投資人損失慘重，我們好奇的是一向被認為投資行為較不理性的個人投資者面臨股票市場急速崩跌之際，會如何處分其投資部位，及其決策影響因素可能為何。因此本研究以國內某券商之個人投資者之長期股票交易資料，探討個人屬性、交易型態與投資經驗對於市場崩盤時期之投資交易模式之關聯性。
實證結果發現個人屬性、交易型態與投資經驗，均會對於個人投資者在股市崩盤期間的投資行為模式造成影響，其中，投資經驗較豐富的投資人在2008年市場崩盤期間的停損速度較快，而交易經驗較缺乏者則傾向採取不願認賠與加碼攤平的投資策略。此外，針對同時經歷兩次股市崩盤之投資人而言，其2000年崩盤期間之投資行為模式與投資績效的好壞，會透過學習理論中的甜頭效應與蛇咬效應，對於投資人下次面臨類似決策情境時，所採取的投資行為模式的調整方向造成影響。總括而言，本研究證實了過去的投資經驗有助於投資人再度面臨市場崩盤時及早停損出場，降低損失，從而支持了文獻上對於經驗效應與學習效果之研究。

關鍵字

市場崩盤 ； 個別投資者 ； 投資經驗 ； 學習效果 ； 行為財務學

並列摘要

Due to the global financial crisis in 2008, Taiwan weighted stock index plummeted 56% in 130 trading days, which caused investors suffered huge losses. To study how individual investors make disposition decisions for the stocks in hand during the market crash and how investors learn from prior market experiences, we use actual trading data provided by a securities firm in Taiwan to examine whether personal characteristics, trading types and investment experience make influences on individual investors’ trading behaviors.
This paper finds that previous investment experiences make effects on individual investor's investment behaviors during the market crash in 2008. In addition, investors with more trading experiences and similar experiences of the market crash incline to sell their stocks promptly, whereas inexperienced investors tend to hold stocks with paper losses or to purchase more stocks with the purpose to breakeven the sunk cost. In conclusion, our research finds that experiences help investors to reduce dramatic losses in the market crash, which is in line with the behavior of experienced investors in experimental asset markets literature.

並列關鍵字

Market Crash ； Individual Investor ； Investment Experience ； Learning Effect ； Behavior Finance

參考文獻

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