主觀幸福感與平倉決策：以臺灣股價指數期貨為例

Abstract

除了行為財務學的錯置效果之外，正向心理學的主觀幸福感，確實亦能影響平倉決策。實證結果顯示，最終獲利、價格波動度較大、市場走多，各為一種正向事件，可使投資者的主觀幸福感較高，也就是安心感較高，進而較不易平倉。本研究最特別之處，即是探討「一箭雙鵰」或「賠了夫人又折兵」的投資狀態：在其他條件相同下，「一箭雙鵰」定義為「最初看多市場、最終獲利」的期貨口數，此代表同時面臨「最終獲利」與「短期市場走多」兩項正向事件；「賠了夫人又折兵」定義為「最初看多市場、最終虧損」的期貨口數，此代表同時遭遇「最終虧損」與「短期市場走空」兩項負向事件。本研究主張，在「一箭雙鵰」的投資狀態下，將因主觀幸福感較高，而較不易平倉，也就是瞬間死亡率較低，實證結果顯示，其瞬間死亡率確實相較「賠了夫人又折兵」的投資狀態為低18.3%，也就是在最終獲利時，將較不易平倉，而這與錯置效果的推論方向，完全相反。 為了檢驗上述看法，本研究採用以下數據。自從1998/7/1臺灣期貨市場開市，十年內交易最旺盛期間為2007/1/1 ~ 2008/6/30。透過本國自然人的所有交易紀錄：臺灣股價指數期貨(TXF)與小型臺灣股價指數期貨(MXF)，共計18,444,489口；採用各商品在到期日前約40個交易日為研究區間，來處理左設限、右設限、隨機設限數據，而此作法更有三項好處：(1)專注交易最旺盛商品 (2)在錯置效果影響力有限下，主觀幸福感更有機會被檢驗出，其確實能影響平倉決策 (3)短期的主觀幸福感變化，主要受到外在事件影響，而較不受到人格特質影響。 過去文獻，從未導入主觀幸福感以探討投資決策。本研究藉著Cox比例危險模型，以逐一檢驗各解釋變數是否能顯著影響平倉決策，也就是影響瞬間死亡率。此為開端性研究，以探究主觀幸福感對平倉決策的影響，最終，共計九項假說成立，即為本研究之主要貢獻。

In addition to the disposition effect of behavioral finance, the subjective well-being (SWB) in positive psychology significantly influences unwinding decision. We conclude that the positive events of higher returns, price volatility, and the uptrend market bring investors the higher SWB and lead investors less inclined to unwind. Bullish investors are divided into two groups– the “double-good”, the investors earn profit in the upward market, and the “double-bad” as losing money during the downtrend market, and the special finding is with sensitivity analysis, the “double-good” investors imply higher SWB so as making less unwinding decision than the “double-bad” ones. Furthermore, hazard rate of the former is 18.3% less than the latter, which is completely contrary to the ratiocination of the disposition effect. The data during the most prosperous trading period in Taiwan futures market from 2007/1/1 to 2008/6/30 is adopted. There are 18,444,489 transactions in Taiwan stock index futures and small-scale ones by retail investors. We cope with the left, right and random censoring data as setting the research period in 40-trading-days just before the maturity date of each product; it also provides three advantages as (1) focusing on most exuberant products (2) more likely to examine the effect of the SWB comparing with the limitation of the disposition effect (3) less influenced by personalities as examining the variance of short-term SWB which is mainly affected by the externalities. There is no literature introducing SWB into investment decisions, but we contribute on proving nine hypotheses showing the influential of unwinding decision by SWB through testing the validity of explanatory variables by Cox proportional hazard model.