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題名 期貨信託基金交易的不理性行為對折溢價影響
The impact of the irrational behavior of the Futures ETFs transaction on the discounts and premiums作者 蔡渝玫
Tsai, Yu-Mei貢獻者 周冠男
Chou, Robin K
蔡渝玫
Tsai, Yu-Mei關鍵詞 ETF
折溢價
樂透型股票
有限注意力
賭博偏好
定錨效應
ETF
Discount and premium
Lottery stocks
Limit attention
Gambling preferences
Anchoring日期 2021 上傳時間 2-Sep-2021 16:25:30 (UTC+8) 摘要 ETF 發明約27年，而台灣第一檔ETF元大台灣50（代號0050）於2003年台灣正值 SARS 時誕生。近年來ETF市場蓬勃發展，截至110年7月30止，總計發行數已逾兩百多檔。ETF 為何在台灣如此獲投資人青睞？筆者觀察，台灣投資人偏好主動投資，自行管理，但該類族群現已面臨退休或老化階段，尤其在歷經 2008 年金融危機之後投資觀念也出現轉變。也因為市場變化快速，大盤已不若以往容易預測被動型投資因運而生。而ETF此類被動型投資恰好有低進入門檻、風險分散與手續和管理費用低等好處，因此在成本效益上，提供一個相當有利的投資方式。惟隨ETF的交易熱絡也衍伸出許多特別的現象。本人從事期貨信託基金的銷售，經歷投資人對於期貨ETF的盲目追逐造成市場折溢價偏離，Zweig(1973)早就指出，封閉式基金的溢價和折價似乎傳達了錯誤的定價資訊。因此本研究藉行為財務學的四種行為偏向如何影響臺灣ETF的折價和溢價，藉以了解發生因素進而提供解決辦法。台灣在ETF市場還需要再提升相關金融素養，例如期貨公會正研擬投資人於期貨信託基金申購前須完成問券測驗；又如ETF市場的發行限額法規得以取消，業者將有更大的揮灑空間，並在保護投資人的前提供投資人多樣化的商品選擇。
ETF was invented for about 27 years，and the first ETF in Taiwan is Yuanta Taiwan Top 50 ETF (Codename:0050) which was established in 2003 when Taiwan was SARS. The ETF market has boomed in recent years，the total issued number has exceeded two hundred files as of July 30, 110. Why are ETFs so popular among investors in Taiwan? Author observation, Taiwanese investors prefer to invest actively, but this group is now facing retirement or aging., investment concepts have also changed especially after the 2008 financial crisis. But due to the rapid changes, the market is no longer as predictable as it used to be. Therefore, passive investment occurs. ETFs have a low barrier to entry, benefits of risk diversification and low procedures and management costs, so in terms of cost-effectiveness, ETFs provide a very advantageous investment method.However, with the enthusiasm of ETFs trading, many special phenomena have emerged. I am engaged in the sale of futures ETFs, and I have experienced investors’ blind pursuit of futures ETFs, causing market discounts and premiums to deviate. Zweig (1973) has long pointed out that the premiums and discounts of closed-end funds seem to convey wrong pricing information. Therefore, this study uses how the four behavioral biases of behavioral finance affect the discounts and premiums of Taiwan ETFs, in order to understand the factors and provide solutions. Taiwan needs to improve related financial literacy in the ETF market. For example, the Futures Association is studying a plan for investors to complete a questionnaire test before applying for futures ETFs. Another example is the cancellation of the issuance limit regulations in the ETF market, and the industry will have more room to sway, and provide investors with diversified product choices before protecting investors.參考文獻 一、中文部分王銘駿、陳宜伶、吳昭億、林韋伶，(2014)，誰在交易樂透性質的選擇權應用。經濟論文叢刊 (Taiwan Economic Review)，96期王銘駿、吳昭億、楊琬如，(2020)，投資人情緒、賭博偏好與交易利得之關係－臺灣選擇權之實證研究。期貨與選擇權學刊，13卷1期，83 - 121王韻怡、池祥萱、周冠男， (2016)，行為財務學文獻回顧與展望: 台灣市場之研究。經濟論文叢刊 (Taiwan Economic Review)， 19-20肖磊，股市與賭場的真正區別，110.4.13，檢自https://kknews.cc/zh-hk/finance/zxg5erg.html溫育芳、趙珮伊，(2011)，國內股市定錨效應之研究-以2008年總統大選期門為例。國立宜蘭大學，應用經濟與管理學系。二、英文部分Aboody, D, R. Lehavy, and B. Trueman, 2010, Limited attention and the earnings announcement returns of past stock market winners, Review of finance82, 251-288.Amir, E., Ganzach, Y. (1998) Overreaction and underreaction in analysts’ forecasts. Journal of economic behavior and organization, 37, 333–347.Barber, B. M., Y. T. Lee., Y. J. Liu., and T. Odean, 2009, “Just how much do individual investors lose by trading?” Review of financial studies, 22:609-632.Black, F., 1986, “Noise,” Journal of finance, 41:529-543.Brenner, R., 1983, History – The human gamble, Chicago: Chicago university pressCampbell, J.Y., Hilscher, J., Szilagyi, J., 2008. In search of distress risk. Journal of finance 63, 2899-2939.Dorn, D. and P. Sengmueller, 2009, “Trading as entertainment,” management science, 55: 591-603.Eugene F. Fama, “Efficient capital markets: A review of theory and empirical work,” Journal of finance 25, no. 2 (May 1970): 383-417.France, C. J., 1902, “The gambling impulse,” American journal of psychology, 13: 364-407.Herbert A. Simon（1982）, Models of bounded rationality, cambridge, MA: MIT Press.Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of accounting and economics 36(1-3):337-386.Kahneman, D.(1973). Attention and effort. Englewood cliffs:prentice-hall.Kumar, A., 2009. Who gambles in the stock market? Journal of finance 64, 1889-1933.Langevoort Donald C., Taming the animal spirits of the stock markets: a behavioral approach to securities regulation, 97 Nw. U. L. Rev. 135(2003).Markowitz, H.(1952). Portfolio selection. The journal of finance, 7(1), 77-91.Odean, T. 1999. Do investors trade too much? The american economic review 89(5):1279-1298.Shefrin, H., & Statman, M. (2000). Behavioral portfolio theory. Journal of financial and quantitative analysis, 35(2), 127-151.Shiller, R. J. (1999).“Human behavior and the efficiency of the financial system,” in J. Taylor, and M. Woodford, ed.: Handbook of macroeconomics.Simon, Herbert (1991). "Bounded rationality and organizational learning". Organization science. 2 (1): 125–134. doi:10.1287/orsc.2.1.125.Treynor, J., 1995, “The only game in town,” Financial analysts journal, 51:81-83.Tversky, A. and D. Kahneman (1992), “Advances in prospect theory cumulative representation of uncertainty,” Journal of risk and uncertainty, 5, 297-323.Tversky, A. & Kahneman, D.（1974）. "Judgment under uncertainty: heuristics and biases". science, 185, 1124–1130.Walker, M. B., 1992, The psychology of gambling, oxford, UK: Pergamon pressYu, Hsin-Yi and Shu-Fan Hsieh (2010), “The effect of attention on buying behavior during a financial crisis: evidence from the taiwan stock exchange,” International review of financial analysis, 19, 270–280.Zweig, M.E., 1973. An investor expectations stock price predictive model using closed-end fund premiums.Journal of Finance 28, 67-78. 描述 碩士
國立政治大學
經營管理碩士學程(EMBA)
107932142資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107932142 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Chou, Robin K en_US dc.contributor.author (Authors) 蔡渝玫 zh_TW dc.contributor.author (Authors) Tsai, Yu-Mei en_US dc.creator (作者) 蔡渝玫 zh_TW dc.creator (作者) Tsai, Yu-Mei en_US dc.date (日期) 2021 en_US dc.date.accessioned 2-Sep-2021 16:25:30 (UTC+8) - dc.date.available 2-Sep-2021 16:25:30 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2021 16:25:30 (UTC+8) - dc.identifier (Other Identifiers) G0107932142 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136884 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經營管理碩士學程(EMBA) zh_TW dc.description (描述) 107932142 zh_TW dc.description.abstract (摘要) ETF 發明約27年，而台灣第一檔ETF元大台灣50（代號0050）於2003年台灣正值 SARS 時誕生。近年來ETF市場蓬勃發展，截至110年7月30止，總計發行數已逾兩百多檔。ETF 為何在台灣如此獲投資人青睞？筆者觀察，台灣投資人偏好主動投資，自行管理，但該類族群現已面臨退休或老化階段，尤其在歷經 2008 年金融危機之後投資觀念也出現轉變。也因為市場變化快速，大盤已不若以往容易預測被動型投資因運而生。而ETF此類被動型投資恰好有低進入門檻、風險分散與手續和管理費用低等好處，因此在成本效益上，提供一個相當有利的投資方式。惟隨ETF的交易熱絡也衍伸出許多特別的現象。本人從事期貨信託基金的銷售，經歷投資人對於期貨ETF的盲目追逐造成市場折溢價偏離，Zweig(1973)早就指出，封閉式基金的溢價和折價似乎傳達了錯誤的定價資訊。因此本研究藉行為財務學的四種行為偏向如何影響臺灣ETF的折價和溢價，藉以了解發生因素進而提供解決辦法。台灣在ETF市場還需要再提升相關金融素養，例如期貨公會正研擬投資人於期貨信託基金申購前須完成問券測驗；又如ETF市場的發行限額法規得以取消，業者將有更大的揮灑空間，並在保護投資人的前提供投資人多樣化的商品選擇。 zh_TW dc.description.abstract (摘要) ETF was invented for about 27 years，and the first ETF in Taiwan is Yuanta Taiwan Top 50 ETF (Codename:0050) which was established in 2003 when Taiwan was SARS. The ETF market has boomed in recent years，the total issued number has exceeded two hundred files as of July 30, 110. Why are ETFs so popular among investors in Taiwan? Author observation, Taiwanese investors prefer to invest actively, but this group is now facing retirement or aging., investment concepts have also changed especially after the 2008 financial crisis. But due to the rapid changes, the market is no longer as predictable as it used to be. Therefore, passive investment occurs. ETFs have a low barrier to entry, benefits of risk diversification and low procedures and management costs, so in terms of cost-effectiveness, ETFs provide a very advantageous investment method.However, with the enthusiasm of ETFs trading, many special phenomena have emerged. I am engaged in the sale of futures ETFs, and I have experienced investors’ blind pursuit of futures ETFs, causing market discounts and premiums to deviate. Zweig (1973) has long pointed out that the premiums and discounts of closed-end funds seem to convey wrong pricing information. Therefore, this study uses how the four behavioral biases of behavioral finance affect the discounts and premiums of Taiwan ETFs, in order to understand the factors and provide solutions. Taiwan needs to improve related financial literacy in the ETF market. For example, the Futures Association is studying a plan for investors to complete a questionnaire test before applying for futures ETFs. Another example is the cancellation of the issuance limit regulations in the ETF market, and the industry will have more room to sway, and provide investors with diversified product choices before protecting investors. en_US dc.description.tableofcontents 第一章 緒論 8第一節 研究動機 8第二節 研究目的 9第三節 研究範圍 10第四節 研究架構 13第二章 文獻回顧 14第一節 樂透型股票 14第二節 有限注意力 15第三節 賭博偏好 16第四節 定錨效應 16第三章 研究方法 18第一節 資料來源 18第二節 樣本說明 19一、折溢價比例： 19二、基金淨值： 19三、ETF成交量： 20第四章 實證結果 21第一節 有限注意力與折溢價關係 21一、獲高度關注度ETF之折溢價呈現 21二、未有特殊議題引發關注之ETF折溢價呈現 24第二節 淨值接近2元的強制退市標準與折溢價關係 29一、低價因素之折溢價呈現 29二、淨值2元的錨定效應 31第五章 結論與建議 33參考文獻 35 zh_TW dc.format.extent 1252543 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107932142 en_US dc.subject (關鍵詞) ETF zh_TW dc.subject (關鍵詞) 折溢價 zh_TW dc.subject (關鍵詞) 樂透型股票 zh_TW dc.subject (關鍵詞) 有限注意力 zh_TW dc.subject (關鍵詞) 賭博偏好 zh_TW dc.subject (關鍵詞) 定錨效應 zh_TW dc.subject (關鍵詞) ETF en_US dc.subject (關鍵詞) Discount and premium en_US dc.subject (關鍵詞) Lottery stocks en_US dc.subject (關鍵詞) Limit attention en_US dc.subject (關鍵詞) Gambling preferences en_US dc.subject (關鍵詞) Anchoring en_US dc.title (題名) 期貨信託基金交易的不理性行為對折溢價影響 zh_TW dc.title (題名) The impact of the irrational behavior of the Futures ETFs transaction on the discounts and premiums en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分王銘駿、陳宜伶、吳昭億、林韋伶，(2014)，誰在交易樂透性質的選擇權應用。經濟論文叢刊 (Taiwan Economic Review)，96期王銘駿、吳昭億、楊琬如，(2020)，投資人情緒、賭博偏好與交易利得之關係－臺灣選擇權之實證研究。期貨與選擇權學刊，13卷1期，83 - 121王韻怡、池祥萱、周冠男， (2016)，行為財務學文獻回顧與展望: 台灣市場之研究。經濟論文叢刊 (Taiwan Economic Review)， 19-20肖磊，股市與賭場的真正區別，110.4.13，檢自https://kknews.cc/zh-hk/finance/zxg5erg.html溫育芳、趙珮伊，(2011)，國內股市定錨效應之研究-以2008年總統大選期門為例。國立宜蘭大學，應用經濟與管理學系。二、英文部分Aboody, D, R. Lehavy, and B. Trueman, 2010, Limited attention and the earnings announcement returns of past stock market winners, Review of finance82, 251-288.Amir, E., Ganzach, Y. (1998) Overreaction and underreaction in analysts’ forecasts. Journal of economic behavior and organization, 37, 333–347.Barber, B. M., Y. T. Lee., Y. J. Liu., and T. Odean, 2009, “Just how much do individual investors lose by trading?” Review of financial studies, 22:609-632.Black, F., 1986, “Noise,” Journal of finance, 41:529-543.Brenner, R., 1983, History – The human gamble, Chicago: Chicago university pressCampbell, J.Y., Hilscher, J., Szilagyi, J., 2008. In search of distress risk. Journal of finance 63, 2899-2939.Dorn, D. and P. Sengmueller, 2009, “Trading as entertainment,” management science, 55: 591-603.Eugene F. Fama, “Efficient capital markets: A review of theory and empirical work,” Journal of finance 25, no. 2 (May 1970): 383-417.France, C. J., 1902, “The gambling impulse,” American journal of psychology, 13: 364-407.Herbert A. Simon（1982）, Models of bounded rationality, cambridge, MA: MIT Press.Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of accounting and economics 36(1-3):337-386.Kahneman, D.(1973). Attention and effort. Englewood cliffs:prentice-hall.Kumar, A., 2009. Who gambles in the stock market? Journal of finance 64, 1889-1933.Langevoort Donald C., Taming the animal spirits of the stock markets: a behavioral approach to securities regulation, 97 Nw. U. L. Rev. 135(2003).Markowitz, H.(1952). Portfolio selection. The journal of finance, 7(1), 77-91.Odean, T. 1999. Do investors trade too much? The american economic review 89(5):1279-1298.Shefrin, H., & Statman, M. (2000). Behavioral portfolio theory. Journal of financial and quantitative analysis, 35(2), 127-151.Shiller, R. J. (1999).“Human behavior and the efficiency of the financial system,” in J. Taylor, and M. Woodford, ed.: Handbook of macroeconomics.Simon, Herbert (1991). "Bounded rationality and organizational learning". Organization science. 2 (1): 125–134. doi:10.1287/orsc.2.1.125.Treynor, J., 1995, “The only game in town,” Financial analysts journal, 51:81-83.Tversky, A. and D. Kahneman (1992), “Advances in prospect theory cumulative representation of uncertainty,” Journal of risk and uncertainty, 5, 297-323.Tversky, A. & Kahneman, D.（1974）. "Judgment under uncertainty: heuristics and biases". science, 185, 1124–1130.Walker, M. B., 1992, The psychology of gambling, oxford, UK: Pergamon pressYu, Hsin-Yi and Shu-Fan Hsieh (2010), “The effect of attention on buying behavior during a financial crisis: evidence from the taiwan stock exchange,” International review of financial analysis, 19, 270–280.Zweig, M.E., 1973. An investor expectations stock price predictive model using closed-end fund premiums.Journal of Finance 28, 67-78. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202101378 en_US
