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題名 台灣期貨交易所選擇權投資人的交易行為
The Trading Behavior of Options Investors at Taiwan Futures Exchange作者 王銘駿
Wang, Ming Chun貢獻者 劉玉珍
Liu,Yu Jane
王銘駿
Wang, Ming Chun關鍵詞 行為財務學
框架效應
心理帳戶
Behavioral Finance
Narrow Framing
Mental Accounting日期 2006 上傳時間 14-Sep-2009 09:04:09 (UTC+8) 摘要 在第一篇文章當中,我們論證了台灣選擇權市場的投資人交易行為符合Kahneman and Tversky (1981) 所提出來的框架效應. 更進一步, 我們發現投資人的專業程度, 交易複雜性, 與交易經驗能降低框架效應的行為偏誤. 在第二篇文章當中, 我們發現台灣選擇權市場投資人並無符合Thaler (1985) 所提出來的心理帳戶效應來編輯利得與損失. 但是對於混合利得與損失當中, 投資人仍有心理帳戶的現象來處理他們的選擇權部位.
In the first essay, we document support for the narrow framing effect proposed by Kahneman and Tversky (1981). Our findings that traders in an options market frame complicated investment decisions into the simpler ones support the narrow framing effect. Traders’ professionalism, sophistication and trading experience are negatively related with the degree of narrow framing, implying that these factors help to reduce investors’ behavioral bias. Our study bridges the gap between the psychological literature and financial literature in terms of the relationship between experience/sophistication and narrow framing. The results of this paper shed light on the decision-making process in an options market. In the second essay, complementary to Lim (2006)’s findings in regards to stocks market, we also claim that in a much more complex derivatives market, traders tend to frame gains and losses asymmetrically by editing or evaluating their outcomes into different accounts. Nevertheless, different from Thaler’s mental accounting theory (1985), we find investors are more susceptible to segregating losses and integrating gains when they liquidate their positions. Our empirical evidence shows that they also have asymmetry in the propensity to liquidate multiple options. The current study sheds a light on how investors perceive, categorize, evaluate and engage their outcomes in financial activities, in addition, under what circumstances investor integrate or separate their investment profits. The fact that investors’ responses to edit their outcomes vary across countries and securities markets highlights the complexity of human behavior and calls for further studies on a broader range of financial markets.參考文獻 Bailey, T. C. and A. C. Gatrell, (1995), Interactive Spatial Data Analysis (Longman Scientific & Technical: Essex, England).
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Barberis, N. and Huang, M., (2004), “Preferences with Frames: A New Utility Specification that Allows for the Framing of Risks,” Working paper, University of Chicago.
Barberis, N., Huang, M., and Thaler, R., (2006) “Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing,” American Economic Review 96, 1069-1090.
Benartzi, S. and Thaler, R. H., (1995), ‘‘Myopic Loss Aversion and the Equity Premium Puzzle,’’ The Quarterly Journal of Economics 110, 73-92.
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Chaput, J. S. and Ederington, L., (2003), “Option Spread and Combination Trading,” Journal of Derivatives 10, 70-88.
Chaput, J. S. and Ederington, L., (2005a), “Volatility Spread Design,” Journal of Futures Markets, vol 25, #3 (March), 243-279.
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國立政治大學
財務管理研究所
90357501
95資料來源 http://thesis.lib.nccu.edu.tw/record/#G0903575011 資料類型 thesis dc.contributor.advisor 劉玉珍 zh_TW dc.contributor.advisor Liu,Yu Jane en_US dc.contributor.author (Authors) 王銘駿 zh_TW dc.contributor.author (Authors) Wang, Ming Chun en_US dc.creator (作者) 王銘駿 zh_TW dc.creator (作者) Wang, Ming Chun en_US dc.date (日期) 2006 en_US dc.date.accessioned 14-Sep-2009 09:04:09 (UTC+8) - dc.date.available 14-Sep-2009 09:04:09 (UTC+8) - dc.date.issued (上傳時間) 14-Sep-2009 09:04:09 (UTC+8) - dc.identifier (Other Identifiers) G0903575011 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31018 - dc.description (描述) 博士 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) 90357501 zh_TW dc.description (描述) 95 zh_TW dc.description.abstract (摘要) 在第一篇文章當中,我們論證了台灣選擇權市場的投資人交易行為符合Kahneman and Tversky (1981) 所提出來的框架效應. 更進一步, 我們發現投資人的專業程度, 交易複雜性, 與交易經驗能降低框架效應的行為偏誤. 在第二篇文章當中, 我們發現台灣選擇權市場投資人並無符合Thaler (1985) 所提出來的心理帳戶效應來編輯利得與損失. 但是對於混合利得與損失當中, 投資人仍有心理帳戶的現象來處理他們的選擇權部位. zh_TW dc.description.abstract (摘要) In the first essay, we document support for the narrow framing effect proposed by Kahneman and Tversky (1981). Our findings that traders in an options market frame complicated investment decisions into the simpler ones support the narrow framing effect. Traders’ professionalism, sophistication and trading experience are negatively related with the degree of narrow framing, implying that these factors help to reduce investors’ behavioral bias. Our study bridges the gap between the psychological literature and financial literature in terms of the relationship between experience/sophistication and narrow framing. The results of this paper shed light on the decision-making process in an options market. In the second essay, complementary to Lim (2006)’s findings in regards to stocks market, we also claim that in a much more complex derivatives market, traders tend to frame gains and losses asymmetrically by editing or evaluating their outcomes into different accounts. Nevertheless, different from Thaler’s mental accounting theory (1985), we find investors are more susceptible to segregating losses and integrating gains when they liquidate their positions. Our empirical evidence shows that they also have asymmetry in the propensity to liquidate multiple options. The current study sheds a light on how investors perceive, categorize, evaluate and engage their outcomes in financial activities, in addition, under what circumstances investor integrate or separate their investment profits. The fact that investors’ responses to edit their outcomes vary across countries and securities markets highlights the complexity of human behavior and calls for further studies on a broader range of financial markets. en_US dc.description.tableofcontents Table of Contents……………………………………………………………………...ii List of Tables……….…………………………………………...............……….…….v List of Figures………………………………………………………………………..vii Abstract……………………………………………………..……………………….viii Chapter 1 Introduction………………………………………………………………1 Chapter 2 Narrow Framing: Professions, Sophistication and Experience…………..5 I. Introduction…………………………………………………………5 II. Literature Review on Narrow Framing……………………………..9 III. Hypotheses, Data and Variables……………………………………12 3.1 Hypotheses…………………………………………………..12 3.2 Data………………………………………………………….15 3.3 Variables……………………………………………………17 IV. Empirical Analysis………………………………………………21 V. Conclusions……………………………………………………..27 Chapter 3 Does Mental Account Effect Exist? Evidence from Options Investors at Taiwan Futures Exchange…………………………………………..29 I. Introduction………………………………………………………29 II. Literature Review on Mental Accounting………………………..31 III. Hypotheses, Data, Methodology and Variables…………………..34 3.1 Hypotheses…………………………………………………34 3.2 Data and Methodology……………………………………..35 3.3 Variables……………………………………………………38 IV. Empirical Analysis……………………………………………….40 V. Conclusions………………………………………………………45 Chapter 4 Summary and Conclusions……………………………………………..47 References……………………………………………………………………………49 List of Tables Table 2-1 Number of Contracts and Number of Traders in Options Market………57 Table 2-2 Average Daily Number of Trade and Trading Volume per Trader………58 Table 2-3 Trade Clustering Measures and Index of Cluster Size………………….59 Table 2-4 Trading pattern for traders` behavior……………………………………60 Table 2-5 Trade Clustering and Investor Characteristics………………………….61 Table 2-6 Correlation Matrix of Variables in Option Market……………………...62 Table 2-7 Simple Regression Estimates…………………………………………...63 Table 2-8 Multiple Regression Estimates………………………………………….65 Table 3-1 Sample Descriptive Statistics…………………………………………...67 Table 3-2 Proportion of Multiple Options Liquidation - Gain vs. Loss……………69 Table 3-3 Difference in the Proportion of Multiple Option Liquidations: An Investor Level Analysis………………………………………………..…71 Table 3-4 Difference in the Proportion of Multiple Option Liquidations: An Investor Level Analysis………………………………………………….72 Table 3-5 Difference in the Proportion of Multiple Option Liquidations: An Investor Level Analysis…………………………………………………..73 Table 3-6 Difference in the Proportion of Multiple Option Liquidations: An Investor Level Analysis…………………………………………………..74 Table 3-7 Logistic Analysis of the Propensity to Liquidate Multiple Options……..75 Table 3-8 Logistic Analysis of the Propensity to Liquidate Multiple Options An Alternative Approach………………………………………………....77 Table 3-9 Percentage of Mixed Liquidation Events Consistent with the Hedonic Editing Hypothesis…………………………………………......79 List of Figures Figure 2-1 Volume of Option Contracts………………………………………..…..81 Figure 2-2 Number of Traders for Five Types of Traders in Option Market…..…..81 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0903575011 en_US dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) 框架效應 zh_TW dc.subject (關鍵詞) 心理帳戶 zh_TW dc.subject (關鍵詞) Behavioral Finance en_US dc.subject (關鍵詞) Narrow Framing en_US dc.subject (關鍵詞) Mental Accounting en_US dc.title (題名) 台灣期貨交易所選擇權投資人的交易行為 zh_TW dc.title (題名) The Trading Behavior of Options Investors at Taiwan Futures Exchange en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Bailey, T. C. and A. C. Gatrell, (1995), Interactive Spatial Data Analysis (Longman Scientific & Technical: Essex, England). zh_TW dc.relation.reference (參考文獻) Barber, B., Lee, Y., Liu Y. J., and Odean, T., (2007) “Just How Much Do Individual Investors Lose by Trading?” Working paper. zh_TW dc.relation.reference (參考文獻) Barberis, N. and Huang, M., (2001), “Mental Accounting, Loss Aversion and Individual Stock Returns,” Journal of Finance 56, 1247-1292. zh_TW dc.relation.reference (參考文獻) Barberis, N., Huang, M., and Santos, T., (2001), “Prospect Theory and Asset Prices,” Quarterly Journal of Economics 116, 1-53. zh_TW dc.relation.reference (參考文獻) Barberis, N. and Huang, M., (2004), “Preferences with Frames: A New Utility Specification that Allows for the Framing of Risks,” Working paper, University of Chicago. zh_TW dc.relation.reference (參考文獻) Barberis, N., Huang, M., and Thaler, R., (2006) “Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing,” American Economic Review 96, 1069-1090. zh_TW dc.relation.reference (參考文獻) Benartzi, S. and Thaler, R. H., (1995), ‘‘Myopic Loss Aversion and the Equity Premium Puzzle,’’ The Quarterly Journal of Economics 110, 73-92. zh_TW dc.relation.reference (參考文獻) Bloomfield, R., Libby, R., and Nelson, M., (1998), “Confidence and the Welfare of Less-Informed Investors,” Working Paper, Cornell University. zh_TW dc.relation.reference (參考文獻) Brennan, M. and Solanki, R., (1981), “Optimal Portfolio Insurance,” Journal of Financial and Quantitative Analysis 16, 279-300. zh_TW dc.relation.reference (參考文獻) Brown, P., Chappel, N., da Silva Rosa, R., Walter, T., (2003), “The Reach of the Disposition Effect: Large Sample Evidence across Investor Classes,” Working paper, University of Western Australia. zh_TW dc.relation.reference (參考文獻) Chaput, J. S. and Ederington, L., (2003), “Option Spread and Combination Trading,” Journal of Derivatives 10, 70-88. zh_TW dc.relation.reference (參考文獻) Chaput, J. S. and Ederington, L., (2005a), “Volatility Spread Design,” Journal of Futures Markets, vol 25, #3 (March), 243-279. zh_TW dc.relation.reference (參考文獻) Chaput, J. S. and Ederington, L., (2005b), “Vertical Spread Design,” Journal of Derivatives, vol 12, #3 (Spring), 28-46. zh_TW dc.relation.reference (參考文獻) Cho, J., and Jo, K., (2006), “Overconfidence and Information: The Differences between Individuals and Institutions,” Working paper, Seoul National University. zh_TW dc.relation.reference (參考文獻) Chung, C. F., and Yeh, C. 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