臺灣股票市場錯置效果之研究

Abstract

本研究主要利用臺灣某券商交易資料庫，仿造Odean(1998)之研究方法，檢定臺灣股票市場投資人是否有太快出售手中獲利的股票，傾向繼續持有損失的股票之現象，文獻上稱為『錯置效果』，並且考慮投資人有該行為可能的原因是為了要調整投資組合，樣本經假設與處理後，進行錯置效果之檢定，並且利用不同的區隔變數將投資人區隔成若干群體，分別對不同群體作錯置效果之檢定。 研究發現臺灣股票市場存在有錯置效果，與國外論文不同處是錯置效果的存在不會影響投資人的投資績效，經過檢定後發現，臺灣股票市場投資人發生錯置效果的原因可能是為了調整投資組合，經股齡與年齡分群後發現股齡最高的投資人有顯著的錯置效果，可能的解釋為臺灣股票市場散戶投資人較多，週轉率高，所以股齡較高的投資人投資經驗豐富，對投資組合的調整也較迅速。若是經有無信用交易戶與期貨交易戶分群後，發現有信用交易戶與期貨交易戶的投資人有顯著的錯置效果，因為信用交易是具有槓桿作用的投資工具，根據展望理論將會加深錯置效果。根據擇股擇時能力將投資人區分後，發現績效較好的投資人有顯著的錯置效果，這表示擇股擇時能力較佳的投資人調整投資組合的能力出色，享有較高的投資報酬，但受限於資料的完整性，無法進一步分析擇股擇時能力的準則。

The tendency to hold losers too long and sell winners too soon has been labeled the Disposition Effect. The purpose of this thesis is test the hypothesis of the existing of Disposition Effect in Taiwan stock market by learning the research method of Odean(1998) and analyzing the trading records at a local brokerage house. These investors demonstrate a preference for realizing winner rather than loser. Their behavior may be motivated by a desire of rebalance portfolios. A different result shows no negative relation between disposition effect and investment returns opposite from Odean(1998). Then I segment the samples by some variables s, and verify the said Disposition Effect on each segment. From this research it is realized that the Disposition Effect does exist in Taiwan stock market, however its existence shows no influence to investors’ performances, this result apparently differs from the one overseas. The segments of experience and age shows that the much more experience the investors have, the more obvious Disposition Effect appears on them. The majority of Taiwan stock market is currently individual investors, and features high turnover rate, therefore the investors experienced more makes a prompter portfolios re-balance. The segments of marginal trading and future trading shows that Disposition Effect appears on both these accounts, since the margin trading is an investment tool featured leverage, depending on prospect theory enhances the Disposition Effect. The segments of investors’ timing and selection ability shows that Disposition Effect appears on those investors having superior performances, which also implies that these investors seems to be specialized in portfolios re-balance and attains higher investment return. Unfortunately, due to the difficulty on gathering the source, it cannot go further to analyze the criteria of timing and selection ability verification.