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題名 先前損失與後續交易行為: 以臺灣期貨市場為例
Prior Losses and subsequent trading behavior of different types of traders: Evidence from the Taiwan Futures Exchange作者 李家齊 貢獻者 周冠男
李家齊關鍵詞 hedonic editing 日期 2012 上傳時間 22-Jul-2013 11:12:53 (UTC+8) 摘要 Using a dataset from TAIFEX, Taiwan Futures Exchange, we conduct an account-level analysis of the relation between prior loss consequences and subsequent trading behaviors. We apply two proxy variables of trading activities into our analysis, which are trade size and number of trades. We find that the degree of prior losses has a great effect upon trade size and trading number on the next trading day. This finding proves to the evidence that hedonic editing hypothesis sometimes fails and there are some limitations for it. We further examine for different trader types and the empirical results show that individual investors exhibit the strongest bias while other trader types do uncertainly. We also find the behavioral bias is a persistent phenomenon for individual investors. Overall, our study suggests that prior loss degree has a significant influence on investors’ following trading behaviors. 參考文獻 1. Barber, B. M., and Odean, T., 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance 55, 773-806.2. Barber, B. M., and Odean, T., 2001. Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics 116, 261-292.3. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2008. Just how much do individual investors lose by trading. Review of Financial Studies 22, 609-632.4. Chou, R. K., Wang, Y. Y., and Yan, X, 2013. Trader types and consequences of the disposition effect. Working paper, National Chengchi University.5. Kahneman, D., and Tversky, A., 1979. Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291. 6. Linville, P. W., and Fischer, G. W., 1991. Preferences for separating or combining events. Journal of Personality and Social Psychology 60(1), 5-23.7. Locke, P. R., and Mann, S. C., 2005. Professional trader discipline and trade disposition. Journal of Financial Economics 76, 401-444. 8. Lim, S. S., 2006. Do investors integrate losses and segregate gains? Mental accounting and investor trading decisions. Journal of Business 79, 2539-2574.9. Lehenkari, M., 2009. The hedonic editing hypothesis: evidence from the Finnish stock market. The Journal of Behavioral Finance 10, 9-18.10. Liu, Y. J., Tsai, C. L., Wang, M. C., and Zhu, N., 2010. Prior consequences and subsequent risk taking: New field evidence from the Taiwan Futures Exchange. Management Science 56, 606-620.11. Read, D., Loewenstein, G., and Rabin, M., 1999. Choice Bracketing. Journal of Risk and Uncertainty 19, 171-197.12. Shiller, R. J., 2003. From efficient markets theory to behavioral finance. Journal of Economic Perspectives 17, 83-104.13. Thaler, R. H., 1985. Mental accounting and consumer choice. Marketing Science 4, 199-214.14. Thaler, R. H., and Johnson E. J., 1990. Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science 36, 643-660.15. Thaler, R. H., 1999. Mental accounting matters. Journal of Behavioral Decision Making 12, 183-206. 描述 碩士
國立政治大學
財務管理研究所
100357028
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357028 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.author (Authors) 李家齊 zh_TW dc.creator (作者) 李家齊 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 22-Jul-2013 11:12:53 (UTC+8) - dc.date.available 22-Jul-2013 11:12:53 (UTC+8) - dc.date.issued (上傳時間) 22-Jul-2013 11:12:53 (UTC+8) - dc.identifier (Other Identifiers) G0100357028 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58931 - 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) 100357028 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) Using a dataset from TAIFEX, Taiwan Futures Exchange, we conduct an account-level analysis of the relation between prior loss consequences and subsequent trading behaviors. We apply two proxy variables of trading activities into our analysis, which are trade size and number of trades. We find that the degree of prior losses has a great effect upon trade size and trading number on the next trading day. This finding proves to the evidence that hedonic editing hypothesis sometimes fails and there are some limitations for it. We further examine for different trader types and the empirical results show that individual investors exhibit the strongest bias while other trader types do uncertainly. We also find the behavioral bias is a persistent phenomenon for individual investors. Overall, our study suggests that prior loss degree has a significant influence on investors’ following trading behaviors. zh_TW dc.description.tableofcontents List of Figures IIIList of Tables IV1. Introduction 11.1 Motivation 11.2 Objectives 21.3 Outline 22. Literature Review 42.1 Prospect Theory 42.2 Mental Accounting 62.3 Hedonic Editing 62.4 The Failure of Hedonic Editing－Quasi-Hedonic Editing 102.5 Trader Types 113. Data and Methodology 123.1 Data Description 123.2 Research Methodology and Hypotheses 134. Empirical Results 164.1 All Investors by Trade Size and Number of Trades 164.2 Trader Types by Trade Size and Number of Trades 194.3 Robustness checks 255. Conclusion 31References 32 zh_TW dc.format.extent 563863 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357028 en_US dc.subject (關鍵詞) hedonic editing zh_TW dc.title (題名) 先前損失與後續交易行為: 以臺灣期貨市場為例 zh_TW dc.title (題名) Prior Losses and subsequent trading behavior of different types of traders: Evidence from the Taiwan Futures Exchange en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Barber, B. M., and Odean, T., 2000. Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance 55, 773-806.2. Barber, B. M., and Odean, T., 2001. Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics 116, 261-292.3. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2008. Just how much do individual investors lose by trading. Review of Financial Studies 22, 609-632.4. Chou, R. K., Wang, Y. Y., and Yan, X, 2013. Trader types and consequences of the disposition effect. Working paper, National Chengchi University.5. Kahneman, D., and Tversky, A., 1979. Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291. 6. Linville, P. W., and Fischer, G. W., 1991. Preferences for separating or combining events. Journal of Personality and Social Psychology 60(1), 5-23.7. Locke, P. R., and Mann, S. C., 2005. Professional trader discipline and trade disposition. Journal of Financial Economics 76, 401-444. 8. Lim, S. S., 2006. Do investors integrate losses and segregate gains? Mental accounting and investor trading decisions. Journal of Business 79, 2539-2574.9. Lehenkari, M., 2009. The hedonic editing hypothesis: evidence from the Finnish stock market. The Journal of Behavioral Finance 10, 9-18.10. Liu, Y. J., Tsai, C. L., Wang, M. C., and Zhu, N., 2010. Prior consequences and subsequent risk taking: New field evidence from the Taiwan Futures Exchange. Management Science 56, 606-620.11. Read, D., Loewenstein, G., and Rabin, M., 1999. Choice Bracketing. Journal of Risk and Uncertainty 19, 171-197.12. Shiller, R. J., 2003. From efficient markets theory to behavioral finance. Journal of Economic Perspectives 17, 83-104.13. Thaler, R. H., 1985. Mental accounting and consumer choice. Marketing Science 4, 199-214.14. Thaler, R. H., and Johnson E. J., 1990. Gambling with the house money and trying to break even: The effects of prior outcomes on risky choice. Management Science 36, 643-660.15. Thaler, R. H., 1999. Mental accounting matters. Journal of Behavioral Decision Making 12, 183-206. zh_TW
