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題名 處置效果與過度自信之研究─以臺灣期貨市場為例
A Study of Disposition Effect and Overconfidence in Taiwan Futures Markets
作者 倪詩荏
Ni, Shih Jen
貢獻者 陳威光<br>林靖庭
Chen, Wei Kuang<br>Lin, Ching Ting
倪詩荏
Ni, Shih Jen
關鍵詞 處置效果
過度自信
期貨市場
金融海嘯
disposition effect
overconfidence
futures markets
financial crisis
日期 2014
上傳時間 1-Jul-2015 14:45:19 (UTC+8)
摘要 過去的實證研究顯示交易人行為並非完全理性，因此，為了研究臺灣期貨市場投資人的交易行為，本篇論文利用期貨合約日內交易資料，探討臺灣期貨交易人的處置效果及過度自信之關係，並將期貨交易人身分類別分為國內法人、散戶、自營商及外資。\n 此外，本文更深入探討投資人的交易行為是否受交易量及市場情況影響，因此進一步將資料做不同方向的分類。首先，將散戶依照交易量再分群，以探討不同交易量的散戶族群的交易行為是否不同，另外，我們也將資料區間分為金融海嘯前與金融海嘯期間，藉此觀察金融海嘯是否對交易行為有所影響。\n 本篇論文研究結果顯示，（1）國內法人及散戶有較強烈的處置效果，而自營及外資則較弱。（2）依據投資績效結果顯示，自營商的交易量大，卻損失慘重，相較之下，明顯地具有過度自信。（3）交易量大的散戶會有較低的處置效果，但會較具過度自信。（4）機構投資人於金融海嘯期間會降低其處置效果及過度自信，而散戶則具有相反的表現。
Previous literatures indicate that investors don’t exhibit rationally. To understand investors’ behaviors in Taiwan futures markets, we use intraday trading records from TAIFEX to examine the disposition effect and overconfidence across investor types. We focus on four investor types including domestic institutions, individuals, proprietaries and foreigners.\n To shed some light on trading behaviors of investors, we further discuss whether investors’ behaviors are influenced by trading volume or market conditions. We further separate the individuals by their trading volumes to analyze whether trading behaviors are different. Meanwhile, we also divide our sample period into two sub-periods─before and during financial crisis, to investigate the change of trading behaviors across investor types.\n The main contributions of this study are that (1) the retail investors, namely domestic institutions and individuals, exhibit more disposition effect on futures contracts. However, the professional institutions, including proprietaries and foreigners, display less disposition effect. (2) Proprietaries trade more, but they lose enormously. It appears that proprietaries demonstrate overconfidence. (3) Individual investors with higher trading volume have the lower disposition effect, but higher overconfidence. (4) Overall, institutions reduce disposition effect and overconfidence on most of contracts during financial crisis. In contrast, individual investors perform worse and display more overconfidence.
參考文獻 Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55, 773－806.\nBarber, B. M., & Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics, 116, 261－292.\nBarber, B. M., Lee, Y., Liu, Y., & Odean, T. (2009). Just how much do individual investors lose by trading? Review of Financial Studies, 22, 609－632.\nDhar, R., & Zhu, N. (2006). Up close and personal: investor sophistication and the disposition effect. Management Science, 52, 726-740.\nDorn, D., & Huberman, G. (2005). Talk and action: What individual investors say and what they do. Review of Finance, 9, 437－481.\nFeng, L., & Seasholes, M. (2005). Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance, 9, 305－351.\nGlaser, M., & Weber, M. (2007). Overconfidence and trading volume. Geneva Risk and Insurance Revue, 32, 1－36.\nGraham, J. R., Harvey, C. R., & Huang, H. (2009). Investor competence, trading frequency, and home bias. Management Science, 55, 1094－1106.\nGrinblatt, M., & Keloharju, M. (2001a). What makes investors trade? Journal of Finance, 56, 589－616.\nGrinblatt, M., & Keloharju, M. (2001b). How distance, language, and culture influence stockholdings and trades. Journal of Finance, 56, 1053-1073.\nJhang, W. H. (2008). An examination of the relationship between trader`s profitability and disposition effect. National Kaohsiung First University of Science and Technology of Finance Management.\nKahneman. D., & Tversky, A., (1979). Prospect theory: an analysis of decision under risk, econometrica, 47, 263-292.\nLi, H. C., Lin, C. H., Cheng, T. Y., & Lai, S. (2013). How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33, 1097-1117.\nMoore, D., & Healy, P. J. (2008). The trouble with overconfidence. Psychological Review, 115, 502－517.\nOdean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance, 53, 1775-1798.\nOdean, T. (1998). Volume, volatility, price, and profit when all traders are above average. Journal of Finance, 53, 1887-1934.\nShapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking and Finance, 25, 1573－1587.\nShefrin, H., & Statman, M., (1985). Disposition to sell winners too early and ride losers too long: theory and evidence, Journal of Finance, 40, 777-790.\nWang, W. T. (2014). The disposition effect of individual investor during financial crisis - an empirical study of Taiwan. Asia University of Finance.\nWeber, M., & Camerer, C., (1998). The disposition effect in securities trading: an experimental analysis. Journal of Economic Behavior and Organization, 33, 167-184.
描述 碩士
國立政治大學
金融研究所
102352012
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102352012
資料類型 thesis
dc.contributor.advisor 陳威光<br>林靖庭zh_TW
dc.contributor.advisor Chen, Wei Kuang<br>Lin, Ching Tingen_US
dc.contributor.author (Authors) 倪詩荏zh_TW
dc.contributor.author (Authors) Ni, Shih Jenen_US
dc.creator (作者) 倪詩荏zh_TW
dc.creator (作者) Ni, Shih Jenen_US
dc.date (日期) 2014en_US
dc.date.accessioned 1-Jul-2015 14:45:19 (UTC+8)-
dc.date.available 1-Jul-2015 14:45:19 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2015 14:45:19 (UTC+8)-
dc.identifier (Other Identifiers) G0102352012en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=85003-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 102352012zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 過去的實證研究顯示交易人行為並非完全理性，因此，為了研究臺灣期貨市場投資人的交易行為，本篇論文利用期貨合約日內交易資料，探討臺灣期貨交易人的處置效果及過度自信之關係，並將期貨交易人身分類別分為國內法人、散戶、自營商及外資。\n 此外，本文更深入探討投資人的交易行為是否受交易量及市場情況影響，因此進一步將資料做不同方向的分類。首先，將散戶依照交易量再分群，以探討不同交易量的散戶族群的交易行為是否不同，另外，我們也將資料區間分為金融海嘯前與金融海嘯期間，藉此觀察金融海嘯是否對交易行為有所影響。\n 本篇論文研究結果顯示，（1）國內法人及散戶有較強烈的處置效果，而自營及外資則較弱。（2）依據投資績效結果顯示，自營商的交易量大，卻損失慘重，相較之下，明顯地具有過度自信。（3）交易量大的散戶會有較低的處置效果，但會較具過度自信。（4）機構投資人於金融海嘯期間會降低其處置效果及過度自信，而散戶則具有相反的表現。zh_TW
dc.description.abstract (摘要) Previous literatures indicate that investors don’t exhibit rationally. To understand investors’ behaviors in Taiwan futures markets, we use intraday trading records from TAIFEX to examine the disposition effect and overconfidence across investor types. We focus on four investor types including domestic institutions, individuals, proprietaries and foreigners.\n To shed some light on trading behaviors of investors, we further discuss whether investors’ behaviors are influenced by trading volume or market conditions. We further separate the individuals by their trading volumes to analyze whether trading behaviors are different. Meanwhile, we also divide our sample period into two sub-periods─before and during financial crisis, to investigate the change of trading behaviors across investor types.\n The main contributions of this study are that (1) the retail investors, namely domestic institutions and individuals, exhibit more disposition effect on futures contracts. However, the professional institutions, including proprietaries and foreigners, display less disposition effect. (2) Proprietaries trade more, but they lose enormously. It appears that proprietaries demonstrate overconfidence. (3) Individual investors with higher trading volume have the lower disposition effect, but higher overconfidence. (4) Overall, institutions reduce disposition effect and overconfidence on most of contracts during financial crisis. In contrast, individual investors perform worse and display more overconfidence.en_US
dc.description.tableofcontents 1.INTRODUCTION 1\n\n2.LITERATURE REVIEW 3\n2.1 Disposition Effect 3\n2.2 Overconfidence 6\n\n3.DATA and METHODOLOGY 9\n3.1 Data 9\n3.2 Methodology 11\n\n4.EMPIRICAL ANALYSIS 15\n4.1 All Trading Activities 15\n4.1.1 Descriptive Statistics 15\n4.1.2 Disposition Effect 18\n4.1.3 Performance 21\n4.2 Trading Activities of Individuals by Groups by Volume 24\n4.2.1 Descriptive Statistics 24\n4.2.2 Disposition Effect 27\n4.2.3 Performance 29\n\n5. Robustness 32\n5.1. Descriptive Statistics 32\n5.2 Disposition Effect 37\n5.3 Performance 40\n\n6. CONCLUSION 43\n\nREFERENCES 45zh_TW
dc.format.extent 1047309 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102352012en_US
dc.subject (關鍵詞) 處置效果zh_TW
dc.subject (關鍵詞) 過度自信zh_TW
dc.subject (關鍵詞) 期貨市場zh_TW
dc.subject (關鍵詞) 金融海嘯zh_TW
dc.subject (關鍵詞) disposition effecten_US
dc.subject (關鍵詞) overconfidenceen_US
dc.subject (關鍵詞) futures marketsen_US
dc.subject (關鍵詞) financial crisisen_US
dc.title (題名) 處置效果與過度自信之研究─以臺灣期貨市場為例zh_TW
dc.title (題名) A Study of Disposition Effect and Overconfidence in Taiwan Futures Marketsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Barber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. Journal of Finance, 55, 773－806.\nBarber, B. M., & Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics, 116, 261－292.\nBarber, B. M., Lee, Y., Liu, Y., & Odean, T. (2009). Just how much do individual investors lose by trading? Review of Financial Studies, 22, 609－632.\nDhar, R., & Zhu, N. (2006). Up close and personal: investor sophistication and the disposition effect. Management Science, 52, 726-740.\nDorn, D., & Huberman, G. (2005). Talk and action: What individual investors say and what they do. Review of Finance, 9, 437－481.\nFeng, L., & Seasholes, M. (2005). Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance, 9, 305－351.\nGlaser, M., & Weber, M. (2007). Overconfidence and trading volume. Geneva Risk and Insurance Revue, 32, 1－36.\nGraham, J. R., Harvey, C. R., & Huang, H. (2009). Investor competence, trading frequency, and home bias. Management Science, 55, 1094－1106.\nGrinblatt, M., & Keloharju, M. (2001a). What makes investors trade? Journal of Finance, 56, 589－616.\nGrinblatt, M., & Keloharju, M. (2001b). How distance, language, and culture influence stockholdings and trades. Journal of Finance, 56, 1053-1073.\nJhang, W. H. (2008). An examination of the relationship between trader`s profitability and disposition effect. National Kaohsiung First University of Science and Technology of Finance Management.\nKahneman. D., & Tversky, A., (1979). Prospect theory: an analysis of decision under risk, econometrica, 47, 263-292.\nLi, H. C., Lin, C. H., Cheng, T. Y., & Lai, S. (2013). How different types of traders behavior in the Taiwan futures market. Journal of Futures Markets, 33, 1097-1117.\nMoore, D., & Healy, P. J. (2008). The trouble with overconfidence. Psychological Review, 115, 502－517.\nOdean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance, 53, 1775-1798.\nOdean, T. (1998). Volume, volatility, price, and profit when all traders are above average. Journal of Finance, 53, 1887-1934.\nShapira, Z., & Venezia, I. (2001). Patterns of behavior of professionally managed and independent investors. Journal of Banking and Finance, 25, 1573－1587.\nShefrin, H., & Statman, M., (1985). Disposition to sell winners too early and ride losers too long: theory and evidence, Journal of Finance, 40, 777-790.\nWang, W. T. (2014). The disposition effect of individual investor during financial crisis - an empirical study of Taiwan. Asia University of Finance.\nWeber, M., & Camerer, C., (1998). The disposition effect in securities trading: an experimental analysis. Journal of Economic Behavior and Organization, 33, 167-184.zh_TW