散戶與三大法人之處份效果研究:以台灣加權股價指數期貨為例

Disposition Effect of Individual and Institutional Investors:Evidence from the Taiwan Futures Market

戚竣傑(Chun-Chieh Chi)

指導教授 ： 高櫻芬

國立中央大學/管理學院/財務金融學系/碩士(2012年)

摘要

本論文透過台灣加權指數期貨資料，探討台灣散戶與三大法人的處份效果現象。研究結果顯示，國內散戶與自營商存在明顯的處份效果，而國外機構投資人與國內投信則沒有明顯的處份效果。另外進一步區分市場狀態後，散戶以及國外機構投資人皆在空頭市場狀態下存在處份效果，且空頭市場下的處份效果大於多頭市場下的處份效果，顯示在多頭市場下，處份效果較弱，說明了市場狀態對於散戶及國外機構投資人而言，是會影響其行為決策的因素。國內投信的結果與其他類別投資人之結果相反，我們認為其原因可能是國內投信操作期貨的主要目的為避險用途。另外，交易經驗較豐富的投資人似乎並未顯示較弱的處份效果。

關鍵字

行為偏誤 ； 空頭市場 ； 多頭市場 ； 處份效果 ； 期貨市場

並列摘要

This thesis investigates the disposition effect of domestic individual traders, foreign investors, investment trust companies and futures proprietary merchants in the Taiwan Futures Exchange (TAIFEX). We find that domestic individual traders and futures proprietary firms exhibit disposition effects. In contrast, foreign investors and domestic institution investors do not have disposition effect. During different states of market, we find that, domestic individual traders and foreign investors have disposition effect in the bear market, and the disposition effect in bear market is stronger than that in the bull market, implying futures traders’ disposition effect will be relatively weaker in the bull market, and the market state does affect the investment behavior of domestic individual traders and foreign investors. Compared to other types of investors, domestic institutions (or investment trust companies) are on the opposite side of a coin, domestic institutional investors have different results from other types of investors. This may be attributed to that domestic institutions'' main purpose of trading futures is for hedging. Finally, investors with more transaction experiences seem not to show weaker disposition effect.

並列關鍵字

Behavioral biases ； Bear market ； Bull market ； Disposition effect ； Futures market

參考文獻

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