臺灣期貨市場散戶學習行為之研究

The Learning Effect of Individual Investors in Taiwan Futures Market

楊光理(Kaung-Li, Yang)

指導教授 ： 林美珍

國立臺北大學/商學院/企業管理學系/碩士(2011年)

摘要

本研究運用期貨交易所提供的散戶投資人交易紀錄，重建所有散戶的部位變化情形，並以之探討台指期貨市場中的散戶是否具有學習效果，並驗證交易經驗是否會改變散戶投資人的交易行為，以及散戶投資人的績效與交易經驗之間的關聯。本文以處置效果和過度自信為主軸，發現散戶投資人的確能透過學習來提升自我的交易能力，但學習速度呈現減緩的趨勢；交易行為部分，處置效果程度會隨著經驗的累積而降低，而過度自信水準與經驗之間則呈現顯著正向關聯。此外，散戶投資人會學著了解與生俱來的能力，當他們發現自身能力較差時會選擇離開市場。

關鍵字

行為財務學 ； 處置效果 ； 過度自信 ； 學習行為 ； 期貨市場

並列摘要

In this study, providing retail futures trading records of investors to rebuild all parts of the retail situation changes, and the goods of Tai Zhiqi whether the retail market, learning, and verify that the transaction will change the retail experience in the investor's trading behavior, as well as retail investors and trading experience in the performance of the association between. To dispose of this as the main effects and overconfidence, that retail investors can indeed learn to self-improvement through the ability to trade, but the slow learning speed showed a trend; some transactions, the effect of disposal will be reduced with the accumulation of experience, and Excessive self-confidence and experience level showed significant positive correlation between the. In addition, some retail investors will learn to understand the innate ability, they will find themselves less able to choose to leave the market.

並列關鍵字

behavioral finance ； disposition effect ； over-confidence ； learning effect ； futures market

參考文獻

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