自從1985年 Shefrin and Statman 提出了投資人之錯置效果 (disposition effect) 行為偏誤後,許多學者已就不同市場進行相關的實證研究,然國內至今並無期貨市場投資人錯置效果的相關研究,若直接將外國的相關研究套用於本地的市場,因其政經文化之不同,不僅解釋力不足,亦可能造成謬誤。 本研究取得了台灣期貨市場2004年12月16日至2005年12月21日(即2005年全年期貨契約交易日期)之總體統計資料及個人交易資料,並分別利用Weber and Camerer (1998) 及Odean (1998) 的方法進行實證分析。除了探討投資人是否具有錯置效果之外,也針對投資人錯置效果與報酬間的相關性進行分析。 在總體統計資料的分析部份,我們並未發現投資人存有顯著的錯置效果,其中可能的原因之一是我們在使用總體統計資料進行計算時加入了過多強烈的假設,以致於影響實證結果。 相對的,在利用個體交易資料進行分析時,我們發現無論是使用數量計算法或是金額計算法,在期貨市場的五個族群裡,本國自然人、證券商及本國投信三種類型的投資人具有顯著的錯置效果,本國法人及外國投資人的投資行為則與錯置效果的預期方向相反。這個發現和過去文獻中指出專業的投資人的較不易產生錯置效果的結論尚稱一致。而在投資人的錯置效果與報酬的相關檢定中,則發現錯置效果的強弱與報酬之高低並沒有明顯的相關性,我們推論期貨市場的特性可能是造成此一結果的部份原因。
While the rationality assumption posits that an investor makes a decision on the basis of his or her expected utility, the decision maker’s real action usually deviates from what is predicted by utility theory. One of the behavioral patterns arising from this line is the propensity of traders to hold losing investments too long and to sell winning investments too early, a phenomenon known as the disposition effect. Although there is a large amount of research concerning the disposition effect over the past two decades, and a few studies have worked on this behavioral bias in futures markets in Western countries, none of the literature has ever focused on the disposition effect in Taiwan’s futures market. In this thesis, we empirically study the investors’ disposition effect in Taiwan's futures market. In particular, we adopt and extend both the metrics suggested by Weber and Camerer (1998) and Odean (1998) to measure this behavioral bias. Partially due to the strong assumptions made in calculating the disposition coefficient, no significant disposition effect can be found in the aggregate data provided by Taiwan Futures Exchange. However, when analyzing individual investor’s trading records, we found that the natural persons tend to sell more wining positions than losing positions, indicating a significant disposition effect. On the other hands, the artificial person’s trading behavior exhibits an opposite effect. These results are consistent with what was reported in previous studies. Finally, when investigating the relationship between the behavioral bias and the corresponding investment performance, we found that the tendency of loss aversion dose not significantly affect the performance.