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題名 天氣變化對不同類型投資者處置效果影響：以台灣期貨市場為例
The effect of weather on disposition effect of different types of investors: Evidence from the Taiwan futures exchange
作者 謝育芬
貢獻者 周冠男
謝育芬
關鍵詞 展望理論
處置效果
天氣
Prospect theory
Disposition effect
Weather
日期 2016
上傳時間 1-Jul-2016 14:59:01 (UTC+8)
摘要 有許多研究指出天氣影響投資者的情緒與風險態度，進而影響其行為與決策。因此，探討天氣變化如何影響風險偏好，進而影響不同類型投資者處置效果是本研究的主軸。在這篇文章中，我們探討兩個假設。首先，我們檢測不同類型投資者是否存在不同程度的處置效果。接著，我們檢測天氣如何影響不同類型投資者的處置效果。我們使用台灣期貨交易所的資料進行分析，並發現國內法人及國內散戶有顯著的處置效果，且相較於國內法人，國內散戶有較強的處置效果。另外，我們發現溫度和國內法人及國內散戶的處置效果有正向關聯；降雨量和國外法人的處置效果有正向關聯；日照程度和國內散戶的處置效果有正向關聯。實驗結果顯示天氣影響不同類型投資者的處置效果。
There are many studies indicated that weather influences investors’ mood and risk attitude, which then affect investors’ behavior and decision-making. The purpose of this paper is to research how weather influences disposition effect of different types of investors in the futures market through its effect on risk preference. In this paper, we examine two hypotheses. First, we test whether disposition effect may vary across different types of investors. Second, we test how weather influences disposition effect of different types of investors. Using the dataset from TAIFEX, we find both domestic corporations and domestic individuals have significant disposition effect. Domestic individuals have higher disposition effect than domestic corporations. Moreover, we find there is positive relationship between temperature and disposition effect of both domestic corporations and domestic individuals. There is positive relationship between rain and disposition effect of foreign institutions. There is positive relationship between sunshine and disposition effect of domestic individuals. The results indicate that weather influences disposition effect of different types of investors.
參考文獻 (1)Bassi, A., Colacito, R., and Fulghieri, P., (2013). ’O sole mio: An experimental analysis of weather and risk attitudes in financial decisions. The Review of Financial Studies, 26(7), 1824-1852.
(2)Brown, P., Chappel, N., Rosa, R. D. S., and Walter, T., (2006). The reach of the disposition effect: Large sample evidence across investor classes. International Review of Finance, 6(1-2), 43-78.
(3)Cao, M. and Wei, J., (2004). Stock market returns: A note on temperature anomaly. Journal of Banking and Finance, 29, 1559–1573.
(4)Chen, G., Kim, K. A., Nofsinger, J. R., and Rui, O. M., (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), 425–451.
(5)Choe, H. and Eom, Y., (2009). The disposition effect and investment performance in the futures market. Journal of Futures Markets, 29(6), 496-522.
(6)Fama, E. F., (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 31(1), 383-417.
(7)Frazzini, A., (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046.
(8)Frino, A., Johnstone, D., and Zheng, H., (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? Journal of Banking and Finance, 28(2), 353-372.
(9)Grinblatt, M. and Hany, B., (2001). The disposition effect and momentum, eScholarship University of California: Anderson Graduate School of Management-Finance UCLA.
(10)Hirshleifer, D. and Shumway, T., (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009–1032.
(11)Kahneman. D. and Tversky, A., (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-292.
(12)Li, H.C., Lin, C.H., Cheng, T.Y., and Lai, S., (2013). How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33(12), 1097-1117.
(13)Locke, P. R. and Mann, S. C., (2000). Do professional traders exhibit loss realization aversion? Working Paper.
(14)Mellers, B. A. and McGraw, A. P., (2001). Anticipated emotions as guides to choice. Current Directions in Psychological Science, 10(6), 210-214.
(15)Neumann, J. and Morgenstern, O., (1944). Theory of games and economic behavior, Princeton University: Princeton University.
(16)Odean, T., (1998). Are investors reluctant to realize their losses? Journal of Finance, 53(5), 1775-1798.
(17)Shefrin, H. and Statman, M., (1985). Disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790.
描述 碩士
國立政治大學
財務管理研究所
103357012
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357012
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 謝育芬zh_TW
dc.creator (作者) 謝育芬zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 1-Jul-2016 14:59:01 (UTC+8)-
dc.date.available 1-Jul-2016 14:59:01 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2016 14:59:01 (UTC+8)-
dc.identifier (Other Identifiers) G0103357012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98563-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 103357012zh_TW
dc.description.abstract (摘要) 有許多研究指出天氣影響投資者的情緒與風險態度，進而影響其行為與決策。因此，探討天氣變化如何影響風險偏好，進而影響不同類型投資者處置效果是本研究的主軸。在這篇文章中，我們探討兩個假設。首先，我們檢測不同類型投資者是否存在不同程度的處置效果。接著，我們檢測天氣如何影響不同類型投資者的處置效果。我們使用台灣期貨交易所的資料進行分析，並發現國內法人及國內散戶有顯著的處置效果，且相較於國內法人，國內散戶有較強的處置效果。另外，我們發現溫度和國內法人及國內散戶的處置效果有正向關聯；降雨量和國外法人的處置效果有正向關聯；日照程度和國內散戶的處置效果有正向關聯。實驗結果顯示天氣影響不同類型投資者的處置效果。zh_TW
dc.description.abstract (摘要) There are many studies indicated that weather influences investors’ mood and risk attitude, which then affect investors’ behavior and decision-making. The purpose of this paper is to research how weather influences disposition effect of different types of investors in the futures market through its effect on risk preference. In this paper, we examine two hypotheses. First, we test whether disposition effect may vary across different types of investors. Second, we test how weather influences disposition effect of different types of investors. Using the dataset from TAIFEX, we find both domestic corporations and domestic individuals have significant disposition effect. Domestic individuals have higher disposition effect than domestic corporations. Moreover, we find there is positive relationship between temperature and disposition effect of both domestic corporations and domestic individuals. There is positive relationship between rain and disposition effect of foreign institutions. There is positive relationship between sunshine and disposition effect of domestic individuals. The results indicate that weather influences disposition effect of different types of investors.en_US
dc.description.tableofcontents 1 Introduction 1
1.1 Motivation 1
1.2 Objective 3
2 Literature Review 4
2.1 Prospect Theory 4
2.2 Disposition Effect 6
2.3 Weather 9
3 Data and Methodology 10
3.1 Data Description 10
3.2 Research Methodology 12
3.3 Hypotheses Development 15
4 Empirical Results 19
4.1 Disposition Effect of Four Types of Investors 19
4.2 The Effect of W eather on Disposition Effect 21
5 Conclusion 30
6 References 32		zh_TW
dc.format.extent 1830874 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357012en_US
dc.subject (關鍵詞) 展望理論zh_TW
dc.subject (關鍵詞) 處置效果zh_TW
dc.subject (關鍵詞) 天氣zh_TW
dc.subject (關鍵詞) Prospect theoryen_US
dc.subject (關鍵詞) Disposition effecten_US
dc.subject (關鍵詞) Weatheren_US
dc.title (題名) 天氣變化對不同類型投資者處置效果影響：以台灣期貨市場為例zh_TW
dc.title (題名) The effect of weather on disposition effect of different types of investors: Evidence from the Taiwan futures exchangeen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) (1)Bassi, A., Colacito, R., and Fulghieri, P., (2013). ’O sole mio: An experimental analysis of weather and risk attitudes in financial decisions. The Review of Financial Studies, 26(7), 1824-1852.
(2)Brown, P., Chappel, N., Rosa, R. D. S., and Walter, T., (2006). The reach of the disposition effect: Large sample evidence across investor classes. International Review of Finance, 6(1-2), 43-78.
(3)Cao, M. and Wei, J., (2004). Stock market returns: A note on temperature anomaly. Journal of Banking and Finance, 29, 1559–1573.
(4)Chen, G., Kim, K. A., Nofsinger, J. R., and Rui, O. M., (2007). Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors. Journal of Behavioral Decision Making, 20(4), 425–451.
(5)Choe, H. and Eom, Y., (2009). The disposition effect and investment performance in the futures market. Journal of Futures Markets, 29(6), 496-522.
(6)Fama, E. F., (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 31(1), 383-417.
(7)Frazzini, A., (2006). The disposition effect and underreaction to news. The Journal of Finance, 61(4), 2017-2046.
(8)Frino, A., Johnstone, D., and Zheng, H., (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? Journal of Banking and Finance, 28(2), 353-372.
(9)Grinblatt, M. and Hany, B., (2001). The disposition effect and momentum, eScholarship University of California: Anderson Graduate School of Management-Finance UCLA.
(10)Hirshleifer, D. and Shumway, T., (2003). Good day sunshine: Stock returns and the weather. Journal of Finance, 58(3), 1009–1032.
(11)Kahneman. D. and Tversky, A., (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-292.
(12)Li, H.C., Lin, C.H., Cheng, T.Y., and Lai, S., (2013). How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33(12), 1097-1117.
(13)Locke, P. R. and Mann, S. C., (2000). Do professional traders exhibit loss realization aversion? Working Paper.
(14)Mellers, B. A. and McGraw, A. P., (2001). Anticipated emotions as guides to choice. Current Directions in Psychological Science, 10(6), 210-214.
(15)Neumann, J. and Morgenstern, O., (1944). Theory of games and economic behavior, Princeton University: Princeton University.
(16)Odean, T., (1998). Are investors reluctant to realize their losses? Journal of Finance, 53(5), 1775-1798.
(17)Shefrin, H. and Statman, M., (1985). Disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790.		zh_TW