理性受限下之投資決策－漲跌停限制對投資人行為之影響

Abstract

本文係研究投資人在面對漲跌停限制時之行為特徵，檢視漲跌停是否會影響投資人買進賣出之行為。在觀察投資人實際交易資料後，主要有三項發現：一、關注效果之研究：當股票於前一日跌停時，個別投資人買入該檔股票的機率大於之賣出機率；二、錯置效果之研究：股票漲停會使得投資人較不願意實現手中損失之股票，反觀跌停會令投資人不願出售帳面上獲利之股票，而傾向賣出帳面上虧損之股票，此部分之實證與Odean(1998)所提出在一般情況下的錯置效果有不同之結果；三、極端交易：我們發現在漲跌停當日以漲停或跌停的價格進行買賣的投資人，普遍具有年紀較大、交易經驗豐富且傾向於短線進出股市之特徵。此外，根據投資人的實際交易資料，將實證結果與漲跌停限制的三大假說相互比較，發現本篇論文可支持交易干擾假說的成立。綜合以上研究，我們認為漲跌停限制的設立，並無法有效使投資人冷靜思考股票真實價值，僅能在有限的理性下作出投資決策，進而造成股票市場的不效率性，故以本論文觀點，並不贊成漲跌幅限制之設置。

This thesis is to study how price limit influences behavior of investors. The thesis is divided into three aspects: first, attention effect: hitting down price limit on the previous day, stocks tend to be of net purchase by investors. Second, disposition effect: moving to upper price barrier, stocks with paper loss are reluctant to be sold by investors. On the other hand, moving to lower price barrier, stocks with paper loss are more likely to be sold and stocks with paper gain tend to be held too long. This empirical result is contrary to what Odean (1998) found. Lastly, extreme trade: investors with age and investment experience tend to buy/sell stocks which hit price limit on the day with the price of up or down barrier. In addition, by comparison with three hypotheses about price limit, the empirical result from actual trading data verifies the hypothesis that setting price moving barrier interferences process of stock trading. In conclusion, setting price limit does not help investors calm down but leads to market ineffiency. As a result, the rationale of presence of price limit does not supported by our research and makes rationality of investors limited.