停損策略的價值－以台灣股票市場為例

The Value of Stop Loss Strategies：The Evidence from Taiwan Stock Market

林聖凱(Sheng-Kai Lin)

指導教授 ： 盧秋玲

國立臺灣大學/管理學院/國際企業學研究所/碩士(2015年)

https://doi.org/10.6342/NTU.2015.11184

摘要

根據過去國內外的研究指出，停損策略可以避免投資人發生錯置效果，也就是急於賣出獲利的股票，卻捨不得賣出手中虧損的股票；然而，對投資人來說，最重要的仍是報酬率。因此，本研究欲探討的是停損策略是否能為投資人帶來較高的報酬率，或是減低少投資人的虧損。

與過去研究不同的是，本研究以2004-2014年台灣股票市場所有股票為樣本，並以每檔股票過去的報酬率標準差為基準設定停損點，以防止因波動性不同而造成跌至停損點難易度的不同，並且不設定任何買進訊號。除此之外，本研究以迴歸模型的方式，探討是否有股票特性能影響停損策略的有效性，最後檢定停損策略是否能降低投資風險。

研究結果顯示，停損策略不能為投資人提高報酬率，或是減少虧損，且無法由特定股票特性判斷停損策略的有效性；然而，停損策略可以顯著地為投資人降低投資風險，避免投資人承受一次性的巨大虧損。

關鍵字

停損策略 ； 錯置效果 ； 投資風險

並列摘要

According to domestic and foreign researches, stop-loss strategies can prevent investors occurring disposition effect, that is holding their losing investments too long and selling the stocks which are winners early. However, the most important thing to investors is return. Therefore, this thesis examine whether stop-loss strategy can lead to higher return or reduce losses for investors.

Different from the past research, this thesis uses all the stocks in Taiwan stock market from 2004 to 2014. To avoid the difference of volatility causes different degree of difficulties to reach the stop price, this thesis sets the stop price based on every stock’s daily return standard deviations. In order to prevent other factors making effects on the result, this thesis does not set any specific condition and signal to buy the stocks. In addition, this thesis uses regression to examine whether stock characteristics can affect the validity of stop-loss strategies. In the last we examine whether stop-loss strategy can reduce investment risk.

The result shows that stop-loss strategies neither reduce the losses nor increase the return, and investors cannot judge the validity of stop-loss strategies by specific stock characteristic. However, stop-loss strategies are able to reduce investment risk for investors significantly, avoid investors having a huge loss in one investment.

並列關鍵字

Stop-loss strategy ； Disposition effect ； Investment risk

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