重蹈覆轍？受一次教訓，學一次乖？─經歷過股市泡沫的投資人之行為研究

Abstract

2008年5月，當許多投資人還在期待萬點行情即將再度到來時，台灣股市卻隨之遭受全球金融風暴的襲擊，由九千點一落跌落至四千點，許多投資人的積蓄瞬間少了一大半，而同樣的場景也曾在2000年四月上演。本篇論文要探究的是，遭遇過2000年股市泡沫化的投資人是否在此次的金融風暴下有不同的反應？投資人是否會經由之前的經驗學習進而改變自己的行為？本研究由國內知名券商取得投資人長達十年的交易資料，藉由錯置效果來檢視經歷過股市泡沫化的投資人在此次的金融海嘯中是否有不同的投資行為。 本研究的假說與實證結果為以下三項：一、預期有經歷過2000年科技股泡沫的投資人會有學習效果，因此在2008年的錯置效果會較小，而我們做出的實證結果也確實支持這項假說。二、國外的實證結果顯示交易次數越頻繁的投資人，學習效果較好，錯置效果也較小，本研究檢視分群投資人每年的錯置效果後，發現台灣的投資人也有此現象，交易次數較頻繁的投資人不論在股市崩盤或是多頭時，錯置效果均較小且有顯著的差異。三、投資人的事後報酬是否會加強其投資行為的重複性，本研究衡量錯置效果顯著且事後又有正報酬的投資人，是否在2008年遇到股市再度崩盤時，傾向重覆上次的投資行為，堅持留在市場等到股市反轉呢？我們經由實證結果發現，投資人的確會因過去經驗得到了正報酬而重覆其行為。

The Taiwan stock market crashed in May 2008, and caused lots of investors cry for the extreme lose of money. However, history repeats himself. The same scenario happened in April 2000.This paper asks: Did the investors who have the same experiences in 2000 tech bubble learn from the last crisis? Do they really act more reasonably than those who have no experiences? There are three main hypotheses and results from this paper. First, we expected those who have the experiences of the stock market crisis would learn from that, so the disposition effect of the experienced investors will be smaller than those who have no experiences. The empirical result supports this idea. Second, through many evidences from the literature, we supposed and got the results that those who traded more frequently have less disposition effects. Third, we found that those who had the positive return in 2000 are prone to have the strong disposition effect than those who had negative return.