以交易持續時間實證臺灣期貨市場之錯置效果

Adopting Trade Duration to Evidence Disposition Effect in the Taiwan Futures Market

柳百謙(Pai-Chien Liu)

指導教授 ： 林希偉

元智大學/管理學院/企業管理學系/碩士(2007年)

摘要

現實生活中，投資人往往因為有限理性而使得他們的投資行為違反理性決策之預期。其中錯置效果（disposition effect）即為「投資人不願將帳面損失的股票實現，反而傾向實現帳面獲利的股票」之行為偏誤。本研究以持有時間為基礎，實證臺灣期貨市場投資人之錯置效果。我們發現期貨市場中的自然人面對存有初始損失之合約的持有時間會高於面對初始獲利之合約的持有時間，即此類型投資人在投資行為上存在錯置效果。然而，本研究並未能夠明確驗證錯置效果與投資績效之間的關係，因此，市場中存在的錯置效果是否為非理性行為仍有待進一步驗證。

關鍵字

錯置效果 ； 臺灣期貨市場 ； 交易持有時間

並列摘要

In real life, the bounded rationality of investors tended to violate the expectation of rationale decision-making in investment behavior. One of the noticeable portfolio puzzles was the disposition effect, a behavioral bias which the investors were willing to realize paper gain instead of paper loss in the stock market. Therefore, this study used holding time to investigate the disposition effect in Taiwan Futures Market. Results of this study showed that the trade duration for natural persons facing initial loss in the futures market was longer than the trade duration when they faced the initial gain. In other words, the investment behaviors of the above mentioned investors revealed disposition effect. However, the relationship between disposition effect and investment performance had not yet been evidenced. Thus, whether the disposition effect in the futures market was an irrational behavior or not needed to be figured out in the future.

並列關鍵字

Disposition Effect ； the Taiwan Futures Market ； Trade Duration

參考文獻

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