本研究欲探討共同基金市場投資人,是否與台灣股票市場投資人一樣存在處分效果的投資行為。取自台灣經濟新報(TEJ)中,2008年1月31日至2012年12月31日間,國內股票型和平衡型基金共170檔作為樣本,並運用統計檢定與多元迴歸模式進行實證分析後,來解釋不同類型的基金投資人在不同的市場狀態(Market States)下,產生處分效果的差異性。 由實證結果可得知,共同基金投資人的投資行為存在處分效果;在不同市場狀態下之多頭市場與盤整期間時,基金投資人具有處分效果;在不同基金類型下,在多頭市場與盤整期間時,股票型基金投資人具有處分效果,而平衡型基金則只有在盤整期間時具有處分效果。整體來說,在空頭市場下,共同基金投資人皆無產生處分效果。因此本研究結果,將可提供基金公司的基金經理人在操作不同類型的基金及不同的市場狀態下,規劃持有現金的部位,以應付基金投資人未來的贖回情形。
Our study discusses whether there are disposition effects among mutual fund investors as among stock market investors in Taiwan. The data is collected from 170 equity funds and balanced funds for the period of 2008 to 2012 by TEJ. The study explains the differences of the disposition effect of various fund investors under different market states after analyzing by statistical test and multiple regression model. Our results suggest that the Taiwanese fund investors do exhibit the disposition effect. In addition, investors who have the disposition effect in the bull market and neutral market. Furthermore, investors who invest in equity fund have the disposition effects in the bull market and neutral market. In neutral market, investors who have the disposition effect in balance fund while there is no disposition effect in the bear market. As for the mutual fund houses, they can use our result to help plan their cash holding to meet the anticipated mutual fund investor redemption.