單一或是多個心理帳戶?
以同時投資股票以及期貨投資人為例

本論文探討目標為同時投資股票與期貨的投資人，相較所有投資人，同時投資於股票以及期貨的投資人約佔總樣本的3.18%；其中男性比女性多18%、年齡分配則以20~50歲投資人占最多數。若進一步將交易區分為避險與投機交易，投機交易筆數明顯比避險交易筆數來的多，其中股票市場避險投機交易筆數比大約為1:6、期貨市場大概是1:2；期貨市場對於投資人還是以投機功能為主。投資人心理帳戶探討，利用投資人在兩市場交易筆數相關性探討發現，投資人面對避險交易明顯將兩市場投資視為單一心理帳戶，除了交易筆數有明顯相關性，其投資組合投資風險也較單獨投資股票市場來的低；另一方面，當投資人從事投機交易時，其交易筆數相關性明顯不大於0，顯示投資人同一時間僅能專注於單一市場投資，代表投資人此時將股票與期貨投資視為不同心理帳戶，進一步觀察投資人選擇投資標的發現，市場已經微幅上漲一小段後，就會特別傾向只投資於股票市場，至於投資人則是會在以下狀況特別重視期貨市場的投資:①市場明顯經歷一段下跌、②市場波動性強。

關鍵字

股票市場；期貨市場；行為財務；心理帳戶；避險

並列摘要

The thesis mainly focuses on investors who invest in stock and futures markets simultaneously. The target investors within dual markets we adopted represent 1.16% of total samples that investors focus on stock market or futures market; the male investors overpass females by 18% while the age between 20 and 50 is the dominant group. Then, within further differentiating the trading motivations between hedging and speculating, we found out that the latter obviously dominate the other, which illustrates investing in futures market as for speculation is the main purpose to investors, while the ratio of hedging to speculating is 1:6 in stock and 1:2 in futures markets respectively. By utilizing the investors’ trading behavior within stock and futures markets, we had further research on the mental accounts. The investors trading for hedging treat these two markets as a single mental account due to the high correlation of the number of transactions between two markets and to the low portfolio risk comparing with investing in single stock market only. On the other side, speculating investors which manifests these investors treat the trading separately as for different mental accounts. Our research also finds out that investors are inclined to invest in stocks only when market goes up for a while; however, they will shift to futures when 1) market drops over a short span, and 2) market is volatile.

並列關鍵字

stock market ； futures market ； behavioral finance ； mental account ； hedge

參考文獻

1.Abhyankar, A(1995). "Return and Volatility Dynamics in the FT-SE l00 Stock Index and Stock Index Futures Markets," Journal of Futures Markets, Vol.15, pp.457-486.

2.Barberis, Nicholas and Ming Huang. (2001). "Mental accounting ,loss aversion ,and individual stock returns, " The Journal of Finance, Vol.56, pp. 1247-1292

3.Chan, K. (1992). "A Further Analysis of the Lead-lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Vol.5, pp.123-152.

4.Chu, Q. C., W. G. Hsieh and Y. Tse(1999) "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs,"

International Review of Financial Analysis, Vol.8, pp.21-34.

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單一或是多個心理帳戶? 以同時投資股票以及期貨投資人為例

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