本文探討台灣股票市場的散戶投資人在面對多頭市場與空頭市場是否因過度自信而存在的處份效果,或者因情緒而影響投資決策,進而存在著對獲利的股票賣的太快,卻繼續持有損失的股票。實證結果發現,當股市為多頭、走勢較為平緩時,散戶投資人的情緒不會因股票市場的變化,而有較大的起浮,股票市場的週轉率也不會因為是多頭市場而呈現交易頻率過高的現象。 就散戶投資人而言,在多頭期間的處份效果會高於空頭期間的處份效果,若以不同的報酬率區間來觀察,大部份散戶投資人在多頭期間所設定的停利點相對的會在10% - 15%,多頭期間的週轉率相對也會提高。 就法人機構而言,在多頭與空頭期間皆有處份效果的現象,在多頭期間,法人機構的處份效果比散戶投資人大,因為法人機構的資金龐大,資訊的收集較散戶投資人更為快速,且判斷資訊更為準確,法人機構在多頭期間的週轉率較散戶投資人為低,因此散戶投資人往往比較容易受內生資訊的影響追漲殺跌。
In the present study, we investigate the disposition effect with overconfidence of Taiwan’s individual stock investors as the market is in bull periods or in the bear periods. Empirically, we find that the individual investors'' emotion would seldom to change along with the volatility of the stock price. The turnover rate of stock also would little increase in bull periods. The disposition effect of the institutional investors exits both in bull period and in bear period. In bull period, the disposition effect of institutional investors would be higher than that individual investors since the institutional investors could hold a huge fund and have much more information. Therefore, the institutional investors could make the accurate decisions. The turnover rate of institutional investors is much lower than individual investors in bull period because the individual investor is inclined to follow the market information and buy the rising and sell the falling.