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題名 紀律與處置效果：以臺灣期貨市場為例
Discipline and Disposition Effect：Evidence from the Taiwan Futures Exchange作者 盧逸唐
Lu, Yi Tang貢獻者 周冠男
Robin K. Chou
盧逸唐
Lu, Yi Tang關鍵詞 紀律
處置效果
行為財務
discipline
disposition effect
behavioral finance日期 2015 上傳時間 14-七月-2015 10:37:29 (UTC+8) 摘要 Previous research suggests that the disposition effect is a costly behavioral bias. A study argues that market professionals usually use the term ‘discipline’ to indicate trading strategies that minimize the influence of the disposition effect. In this paper, we examine two hypotheses. First, we test whether discipline could minimize the influence of the disposition effect on trading performance among individual investors. Second, we examine whether the influence of the disposition effect on trading performance under different levels of discipline. Using the dataset from TAIFEX, we show that the discipline measurement we used is more suitable for professional investors than amateurs. Furthermore, we demonstrate that under different levels of discipline, the influence of the disposition effect on trading performance will be different. Investors who exhibit a high level of discipline and a low level of disposition effect tend to have better trading performance. 參考文獻 (1) Choe, Hyuk, and Yunsung Eom. "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29.6 (2009): 496-522.(2) Dhar, R., and Zhu, N, 2006. Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52(5), 726-740.(3) Feng, L., and Seasholes, M.S., 2005, Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance 9, 305-351.(4) Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?. Journal of Banking & Finance, 28(2), 353-372.(5) Kahneman. D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.(6) 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.(7) Locke, P. R., and Mann, S.C., 2005. Professional Trader Discipline and Trade Disposition, Journal of Financial Economics, 76(2), 401-444.(8) Nicolosi, G., Peng, L., and Zhu, N, 2009. Do Individual Investors Learn from Their Trading Experience? Journal of Financial Markets, 12(2), 317-336.(9) Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53(5), 1775-1798.(10) Seru, A., Shumway, T., and Stoffman, N., 2010. Learning by Trading, Review of Financial Studies, 23(2), 705-739.(11) 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.(12) Shu, P. G., Yeh, Y. H., Chiu, Sheam. B., and Chen, H.C., 2005. Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal, 13(2), 201-223.(13) Weber, M., and Camerer, C., 1998. The disposition effect in Securities Trading: An Experimental Analysis. Journal of Economic Behavior and Organization, 33(2), 167-184. 描述 碩士
國立政治大學
財務管理研究所
102357013
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102357013 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.advisor Robin K. Chou en_US dc.contributor.author (作者) 盧逸唐 zh_TW dc.contributor.author (作者) Lu, Yi Tang en_US dc.creator (作者) 盧逸唐 zh_TW dc.creator (作者) Lu, Yi Tang en_US dc.date (日期) 2015 en_US dc.date.accessioned 14-七月-2015 10:37:29 (UTC+8) - dc.date.available 14-七月-2015 10:37:29 (UTC+8) - dc.date.issued (上傳時間) 14-七月-2015 10:37:29 (UTC+8) - dc.identifier (其他 識別碼) G0102357013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76585 - 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) 102357013 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) Previous research suggests that the disposition effect is a costly behavioral bias. A study argues that market professionals usually use the term ‘discipline’ to indicate trading strategies that minimize the influence of the disposition effect. In this paper, we examine two hypotheses. First, we test whether discipline could minimize the influence of the disposition effect on trading performance among individual investors. Second, we examine whether the influence of the disposition effect on trading performance under different levels of discipline. Using the dataset from TAIFEX, we show that the discipline measurement we used is more suitable for professional investors than amateurs. Furthermore, we demonstrate that under different levels of discipline, the influence of the disposition effect on trading performance will be different. Investors who exhibit a high level of discipline and a low level of disposition effect tend to have better trading performance. zh_TW dc.description.tableofcontents 1. Introduction 11.1 Motivation 11.2 Objective 21.3 Outline 32. Literature Review 42.1 Prospect Theory 42.2 Disposition Effect 62.3 Discipline 93. Data and Methodology 103.1 Data Description 103.2 Research Methodology 113.3 Hypotheses Development 164. Empirical Results 184.1 Investor’s characteristic of disposition effect and discipline 184.2 Could discipline help reduce the influence of the disposition effect on trading performance 224.3 Regression Analysis 295. Conclusion 346. References 36 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102357013 en_US dc.subject (關鍵詞) 紀律 zh_TW dc.subject (關鍵詞) 處置效果 zh_TW dc.subject (關鍵詞) 行為財務 zh_TW dc.subject (關鍵詞) discipline en_US dc.subject (關鍵詞) disposition effect en_US dc.subject (關鍵詞) behavioral finance en_US dc.title (題名) 紀律與處置效果：以臺灣期貨市場為例 zh_TW dc.title (題名) Discipline and Disposition Effect：Evidence from the Taiwan Futures Exchange en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) (1) Choe, Hyuk, and Yunsung Eom. "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29.6 (2009): 496-522.(2) Dhar, R., and Zhu, N, 2006. Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52(5), 726-740.(3) Feng, L., and Seasholes, M.S., 2005, Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance 9, 305-351.(4) Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?. Journal of Banking & Finance, 28(2), 353-372.(5) Kahneman. D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.(6) 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.(7) Locke, P. R., and Mann, S.C., 2005. Professional Trader Discipline and Trade Disposition, Journal of Financial Economics, 76(2), 401-444.(8) Nicolosi, G., Peng, L., and Zhu, N, 2009. Do Individual Investors Learn from Their Trading Experience? Journal of Financial Markets, 12(2), 317-336.(9) Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53(5), 1775-1798.(10) Seru, A., Shumway, T., and Stoffman, N., 2010. Learning by Trading, Review of Financial Studies, 23(2), 705-739.(11) 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.(12) Shu, P. G., Yeh, Y. H., Chiu, Sheam. B., and Chen, H.C., 2005. Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal, 13(2), 201-223.(13) Weber, M., and Camerer, C., 1998. The disposition effect in Securities Trading: An Experimental Analysis. Journal of Economic Behavior and Organization, 33(2), 167-184. zh_TW
