投資人行為對期貨市場波動度之影響：以處分效果與過度自信為例

本文以臺灣期貨市場為例，並以2007年1月至2009年間為研究區間，藉由二種投資人面對期貨市場不同的心理狀況，因而在期貨市場上表現出的行為，探討投資人對期貨市場波動度的影響，並計算出此二種財務行為的輕重程度，並藉此方式分組為前10%、前15%以及前20%的組別，以探討不同程度之過度自信或處分效果對期貨市場波動度之影響。我們發現處分效果確實會提高期貨市場的波動度，反之過度自信會降低市場的波動度，最後以向量自我迴歸模型，更進一步探討臺灣期貨市場中過度自信及處分效果投資人與期貨市場的關係，發現處分效果會領先影響市場，但在過度自信的部分，關係較不明顯，只在某些特定行為程度的投資人或落後期數有影響。

關鍵字

過度自信；處分效果；波動度；交易量；向量自我迴歸

並列摘要

This paper takes the Taiwan futures market as an example, and adopts the period from January 2007 to 2009 as the research interval to explore the impact of investors on the volatility of the futures market. In order to accomplish this, the behavior of two kinds of investors with different psychological conditions on the futures market is analyzed and the degree of impact of these two kinds of financial behavior is calculated. The investors are divided into groups of top 10%, top 15% and top 20% so as to explore the effects of different degrees of overconfidence or disposition effect on futures market volatility. We find that the disposition effect increases the volatility of the futures market, whereas overconfidence reduces the volatility of the market. Finally, the vector autoregression is used in the Taiwan futures market to further explore the relationship between the futures market and investors with overconfidence and the disposition effect. We find that the disposition effect will lead the market; however, overconfidence does not show an obvious relationship and only has an impact on investors with certain types of behavior or in certain lag lengths.