金融海嘯期間投資人的交易行為:以台灣指數期貨為例

The investors΄ trading behavior during financial tsunami of Taiwan Stock Index Futures

張書廷(Shu-Ting Chang)

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(2010年)

https://doi.org/10.6342/NTU.2010.03364

摘要

在期貨市場中，放空交易比股票市場相對容易，因此在大空頭時期，一般預料在兩市場中，投資者的行為會有顯著不同。
本研究關心在金融海嘯期間(2008年5月到12月)，台灣期貨市場中投資者是否存在賣盈守虧的現象(即行為財務中著名的錯置效果)?其中商品包括與台灣加權股價指數連動的台指期以及小台指期貨，共計21,279,793口。利用Cox比例危險模型來對錯置效果量化。進一步使用五種不同分群標準，比較互相對立的錯置效果大小，得到以下五個結論:
(1)投資人身份:自然人大於非自然人。原因:資訊交易者。
(2)投資頻繁度:投資不頻繁大於投資頻繁。原因:學習效果。
(3)經歷科技泡沫化:沒經歷過大於有經歷過。原因:學習效果。
(4)交易成本:交易成本高者大於交易成本低者。原因:交易成本說。
(5)投資人態度:悲觀大於樂觀。原因:主觀幸福感。

關鍵字

金融海嘯 ； 錯置效果 ； Cox比例危險模型 ； 資訊交易者 ； 學習效果 ； 交易成本假說 ； 主觀幸福感

並列摘要

In 2008, financial tsunami resulted from subprime mortgage swept the world, including Taiwan where caused many investors to face the extreme lose of money. Generally speaking, short-selling in future markets was easier than in stock markets; therefore, investors had different behaviors in both markets, especially in bear markets.
This paper concerns the investors in Taiwan futures market whether existed the dispositions effect of behavioral finance by using Cox Proportional hazard model to quantize this effect. The data during the most serious bear period in Taiwan futures market from May 2008 to December 2008 is adopted. There are 21,279,793 transactions in Taiwan stock index futures and small-scale ones by all investors. In order to go still one step further to develop this paper, I set up five categorizations to compare disposition effect each other. There are five significant results from this paper as follow.
(i)Status: Individual investors are bigger than non-individual ones.
(ii)Frequency: Non-matured investors are bigger than matured ones.
(iii)Exp_2000: Investors who never experienced tech bubble in 2000 are bigger than ones who had experienced it.
(iv)Cost: Investors who bought products with higher transaction costs is bigger than that with lower Transaction costs.
(v)Attitude: Pessimistic investors are bigger than Optimistic ones.

並列關鍵字

Financial tsunami ； Disposition effect ； Cox proportional hazard model ； Informed trader ； Learning effect ； Trading cost hypothesis ； Subjective well-being

參考文獻

[1] 賴興國，2009，「主觀幸福感與平倉決策：以臺灣股價指數期貨為例」，國立台灣大學財務金融研究所碩士論文。

[2] 盧瑜婷，2009，「重蹈覆轍？受一次教訓，學一次乖？經歷過股市泡沫的投資人之行為研究」，國立台灣大學財務金融研究所碩士論文。

[5] 林官賢，2008，「價格發現過程-以台指期貨和小型台指期貨為例」，國立中央大學財務金融研究所碩士論文。

[7] Cox, D.R., 1975, “Partial Likelihoods”, Biometrika, 62, 269–276.

[8] Cox, D. R., and D. Oakes, 1984, “Analysis of Survival Data: Monographs on Statistics and Applied Probability 21”, Chapman & Hall.