台灣股票市場投資人過度自信與處置效果之研究─以台灣電子類股為例

Overconfidence And Disposition Effect -An Example of Taiwan Electronic Stock

顏嘉亨(Chia-Heng Yan)

指導教授 ： 羅進水

長榮大學/管理學院/經營管理研究所(博)/碩士(2010年)

摘要

過度自信(overconfidence)是指個人過於相信自己的能力判斷是正確的，因而高估了成功的機會。Shefrin & Statman(1985)發現投資人會持有損失的股票而賣出獲利的股票稱這現象為處置效果(disposition effect)。
本研究參照Weber & Camerer(1998)的研究，以其處分係數作為衡量處置效果的指標，並參酌其定義，修改為過度自信係數。本文衡量投資人過度自信與處置效果的行為差異性外，尚以VAR模型以及Granger因果關係分析探討月報酬率與月週轉率對過度自信係數以及處置效果係數之間的關聯性。
　研究結果顯示投資人的信用交易在小型股的過度自信現象高於大型股，而投資人對於價值股的過度自信明顯高於成長股。並在VAR模型實證下，65家電子股的報酬率有受到處置效果與過度自信影響。65家電子股的週轉率方面則沒有受到影響。在Granger因果關係分析顯示，65家電子股的報酬率與散戶投資人的處置效果與過度自信有相互的影響。65家電子股的週轉率單方面受到散戶投資人的處置效果與過度自信的影響。

關鍵字

過度自信 ； 處置效果 ； VAR模型 ； Granger因果關係

並列摘要

Overconfidence means that people believe their judgment overly so that overestimating the chance of success. Shefrin and Statman (1985) said “disposition effect” is a behavior that investors sell the lucrative stock with keeping the lost stock.
　　The thesis, referring to the disposition coefficient proposed by Weber and Camerer(1998), which is modified to the overconfidence coefficient. This article measure the investor have overconfidence and t disposition effect behavior difference, it’s still by the VAR model as well as Granger causal relation analysis discussion month rate of return and month turnover rate to overconfidence as well as between disposition effect coefficient relatedness.
　　Research suggests that the investor in trade credit small stock have had overconfidence phenomenon higher than large stock, and the significantly the investor for the value stock have overconfidence higher than growth stock. The VAR model results reveal that the 65 electronics stocks’ rate of return to suffer any disposition and overconfidence influence. The 65 electronics stocks’ turnover rate was unaffected. The analysis in Granger Causality, mutual influences of 65 electronics stocks’ reward rate and the investors’ disposition effect and overconfidence. Mutual influences of 65 electronics stocks’ rate of return only suffered from investor’s disposition effect an overconfidence.

並列關鍵字

Overconfidence ； Disposition Effect ； VAR Model ； Granger Causality

參考文獻

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