股市過度自信與自信不足之投資 行為研究

A Study of Investment Behavior of Overconfidece and Underconfidence in Taiwan Stock Market

翁慈青(Tzu-Ching Weng)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2004年)

https://doi.org/10.6840/cycu200400354

摘要

傳統財務理論建立在投資人風險趨避的假設基礎上，而Kahneman and Tversky(1979)曾提出展望理論(Prospect Theory)，認為投資者在面臨判斷或抉擇的時候，常會受到心理、情緒的影響，也會因為立場、觀點不同，而產生了不同的結論。在行為財務的研究上主要可分三類，分別是經驗法則謬誤、框架效果以及無效率市場 (Shefrin, 2000)。「過度自信」則是屬於經驗法則謬誤之範疇，過度自信(overconfidence)係指當所支持的證據強度愈高，並且與自己先前所獲得的私人資訊相符時，人們則會產生過度自信的行為。反之「自信不足」(Underconfidence)則係指當所蒐集的證據強度愈低，並且與先前所獲的私人資訊有所差異時，則會有自信不足的現象產生。

本研究乃以集中市場交易週轉率、三大法人買賣超及融資餘額增減之日資料作為研究樣本，實證方法利用單根檢定、Granger 因果關係檢定、Statman et. al.(2003)之向量自我迴歸模型探討外資、投信、自營商三大法人與散戶，在多頭與空頭市場之下，是否會受到股價指數日報酬的影響而增加或減少參與股市的交易，發現到散戶在多頭市場下，會有過度自信的現象，在空頭市場中，會有自信不足的現象。然而外資與投信會受到股價指數日報酬的影響而產生過度自信的行為反應，但是並沒有自信不足的現象產生。另外自營商幾乎不會跟隨股價指數日報酬而波動，故自營商在台灣證券市場中沒有過度自信或是自信不足的投資心理。

關鍵字

行為財務學 ； 過度自信 ； 自信不足

並列摘要

The traditional financial theory is established on the hypothesis of investor’s risk adverse behavior. Kahneman and Tversky(1979) think that when investor faces the choice and the judgment, he will be influenced by his emotion. The research of financial behavior separates three parts: Heuristic-driven bias, Framing effect and inefficient market. (Shefrin,2000) “Overconfidence” means if the public information is the same of the privacy information, the man will have more confidence in his ability. On the other hand, ”Underconfidence” means if the public information is different from the privacy information, the man will have less confidence .

It is mainly based on householders in Taiwan’s security market, and the market still has much unreasonable financial behavior. The research will use Vector Auto-regression Model to analysis the relationship of return and different investor’s behavior. The major empirical results are follows: 1.Individual Investors will not follow the market return, and Individual investors does not have the overconfidence investment behavior in the bull market and does not have the underconfidence investment behavior in the bear market. 2. Foreign Investor’s judgment is not as well as Individual Investors, and Investment Trust has the press to invest the short-run security .They still follow the market return .3.The householders are playing the followers on the bull and bear market .They will be influenced by the market .In the bull market, the householders have the overconfidence investment behavior, and in the bear market, the householders have the underconfidence investment behavior.

並列關鍵字

Underconfidence ； Financial Investment Behavior ； Overconfidence

參考文獻

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