散戶投資人的處分效果與報酬率、週轉率之關連性研究

A Study on Relationship between Individual Investor Disposition Effect and Stocks Return, Turnover rate in Taiwan Market

鄭美婷(Mei-Ting Cheng)

指導教授 ： 林坤輝

國立屏東科技大學/管理學院/財務金融研究所/碩士(2009年)

https://doi.org/10.6346/NPUST.2009.00319

摘要

本文的研究主旨是在探討散戶投資人的處分效果與報酬率、週轉
率之間的關聯性。研究的對象為台灣股市下的散戶，研究期間為
2004/01/01 至 2008/12/31 的市場總成交量，參考 Weber & Camerer(1998)
所提出的處分係數，利用向量自我迴歸模型 VAR 及 Granger 因果關係
檢定，並加上市場上的月報酬率與月週轉率來驗證三者之間是否相互
影響。
實證結果發現，台灣股市的散戶確實存在有處分效果存在，並且
容易受市場環境的影響。報酬率與處分係數皆在落後一期的時候，對
週轉率的影響最為明顯，都是正向的顯著相關。因此，散戶的處分效
果的確與報酬率、週轉率是存在著關聯性。

關鍵字

行為財務學 ； 處分效果 ； 散戶

並列摘要

The subject of this research is to study the relationship between
individual investor disposition effect and turnover rate in Taiwan market.
The individual investors in Taiwan stock market as the object of study ,
the study of stock market transactions during the period of January 1st,
2004 to December 31st, 2008, referring to the disposition effect coefficient
by Weber & Camerer(1998), using Granger cause test and Vector
Autoregressive Model, addition the monthly return rate and monthly
turnover rate, to verify whether the interaction between the three.
Empirical results indicate the Taiwan stock market investors indeed
exists the disposition effect, and easily affects by market environment.
Return rate and disposition effect coefficients affects turnover rate
obviously when lags one term, and it is significantly positive correlation.
Therefore, the individual investor disposition effect indeed exists
correlation between return rate and turnover rate.

並列關鍵字

Behavioral finance ； Disposition effect ； Individual investors

參考文獻

6. 夏清田（2001），「台灣證券交易所投資人交易行為與股票報

3. 甘斐任（2008），「台灣股市投資人過度自信行為之研究」，

3. Chuang, W. I., Lee, B. Soo., （2006）“An empirical evaluation of

Winners and Losers on The Tokyo Stock Exchange,” Journal of

Financial and Quantitative Analysis, Vol. 31, pp.127-144.