台灣與美國股市處分效果之比較研究

Abstract

1980年代前，效率市場假說是財務理論的顯學，但在市場出現越來越多違反該理論的現象後，學者開始提出有別於傳統財務學的解釋，認為投資者進行決策時，不僅只受市場的外在環境影響，同時也受其本身的心理因素影響。自此，行為財務學逐漸為學者所重視。 處分效果(Disposition Effect)是行為財務學的理論，指的是投資人在面臨不同的盈虧狀況時風險偏好會有所改變的現象，最初由Shefrin and Statman(1985)提出。 過去，許多文獻針對本地市場進行處分效果研究，但較少進行跨國比較，因此本研究將比較台灣及美國股市，在整體市場、不同月份別、產業別以及面對大市值企業時，處分效果的異同、強弱。 本研究採用Weber and Camerer(1998)提出的處分係數法(Disposition Effect Coefficient)，選取2015年1月1日至2018年6月30日的日資料，對台灣股市832支股票及美國股市5,555支股票進行處分效果研究，實證結果如下: 1. 兩地股市皆具有處分效果，台灣股市的整體處分效果更強烈。 2. 台灣股市全年存在處分效果，美國股市則在年末兩個月不顯著存在處分效果 3. 台灣股市在批發與零售買賣業不顯著存在處分效果；美國則在農林漁牧、建築與民生產業不顯著存在。 4. 台灣股市投資人面對大市值企業時，存在處分效果；美國則否。

Disposition Effect which means the investor’s tendency to sell winning stocks too soon and hold losing stocks too long is one of the behavior economic theory. This theory was propounded by Shefrin and Statman(1985).

In past, there are many papers studied the disposition effect in Taiwan market, but few of them do the transational comparison. To fill the missing, this paper does the disposition effect research in the difference between Taiwan and the US stock markets. This paper uses the methodology named disposition effect coefficient was derived from Weber and Camerer(1998), and takes the 832 stocks from Taiwan market and the 5555 stocks from the US market as research subjects to compare the difference of disposition effect between these two markets. The study period is from January 1st, 2015 to June 30th, 2018. Empirical results are as follows : 1. Both stock markets have the disposition effect, and the disposition effect in Taiwan market is stronger than the US market. 2. All months in Taiwan have the disposition effect, but the US market doesn’t have the disposition effect in November and December. 3. Wholesale and retail industries in Taiwan and primary industrial sectors, constuction and livelihood industries in the US don’t have the disposition effect. 4. Taiwan investors have the disposition effect when facing the big firm size company, but the US investors don’t have it.