效率市場假說在過去二、三十年間被眾多學者不斷的挑戰,而行為財務學(Behavioral Finance)用來解釋金融市場中的異常現象,認為投資人在金融市場中不是完全理性。而過度自信(Over-confidence)是行為財務學用於解釋決策過程,及投資行為中最常見的觀念。 台灣股票市場與國外不同,主要交易者為個別投資人,本研究欲探討台灣股票市場投資人的行為,依據相關文獻與理論,本研究問題:台灣股票市場投資人是否存有過度自信。藉由問卷調查收集投資人決策時的相關資料,並運用統計檢定與多元迴歸模式進行實證分析後,來解釋投資人股票類型偏好、如何取得財金訊息,最後,探討投資人是否有優於平均、自我歸因、熟悉效果之過度自信行為。 本研究實證結果顯示,投資人投資在小型股為最多,推論原因為投資人偏好高風險高報酬的小型股。此外,投資人訊息來源,在公開訊息與私人訊息具有明顯差異,投資人對自己獲得的訊息來源有較高信心,普遍認為私人訊息比公開訊息要來的可信。過度自信行為分析,發現男性投資人均顯著比女性有過於自信的程度。年齡越大的投資人熟悉效果越明顯,專業人士、從事融資融券者與受過高等教育的投資人容易有過度自信產生,資產淨額越高者顯著有自我歸因行為。綜合以上結果得知,台灣股票市場投資人,確實存有過度自信傾向。
The empirical and theoretical evidence of the efficient market hypothesis(EMH) has been challenged in the past two decades. Behavioural finance has developed as an approach to try to explain financial market anomalies from the EMH. Behavioural finance starts from the premise that in the real world investors do not follow the rational assumptions which underlie the EMH. Over-confidence explains the decision-making process and investment behavior in the most common concepts from behavioural finance. This study mainly investigates the behavioral factors of the Taiwan stock market investors. Based on scholar studies and other literature with regard to over-confidence, ask this study question: Taiwan stock market investors is whether there is overconfidence? This study, using a sample of Taiwan, investigates three over-confidence theories: Better than average effect, Self-attribution and the Familiarity. Our results support the previous studies which suggest that investors are overconfident.