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研究生： 陳平平
Devi - Haryaningsih
論文名稱： 急售獲利、惜售損失傾向之探討-以台灣期貨之交易為例
The Tendency to Hold Winning Investments in Short Duration and to Hold Losing Investments in Long Duration – Evidence from Taiwan Futures Market
指導教授： 陳俊男
Chun-Nan Chen
口試委員: 張琬喻
Woan-Yuh Jang
林軒竹
Hsuan-Chu Lin
李竹芬
Chu-Fen Li
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 英文
論文頁數： 79
中文關鍵詞： 處分效果 、持有期間 、期貨交易 、急售獲利惜售損失
外文關鍵詞： Disposition Effect, Holding Duration, Futures Market, Gain Short Loss Long
相關次數： 點閱：240  下載：1 
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  •  上一筆

    • 人們總是希望從投資行為中賺取獲利，然而許多關於行為財務的文獻指出投資人存在處分效果的現象，導致投資人獲利被侵蝕。處分效果是指投資人對於獲利的部位有過早了結的傾向，而對於虧損的部位則有持有過久的傾向。許多關於處分效果的文獻多使用報酬率、持有部位期間、交易量、波動性等作為衡量。直接使用獲利部位伴隨著較短的持有期間、虧損部位伴隨著較長的持有期間，這樣直觀的方式衡量處份效果仍非常新穎。因此，本研究將運用一新的比率GSLL (Gain Short Loss Long)來捕捉處分效果的現象。
    本研究使用台灣期貨市場資料，研究期間為2006年3月27日至2008年7月31日。資料結構細分各類型投資人的交易資料，此便於後續對投資人作更精確的探討。本研究探討的投資人類型有: 國內外期貨自營商、國內機構投資人、國外機構投資人、國內散戶投資人、國外散戶投資人、以及其他類別。本研究運用先進先出法(First-In-First-Out)來計算投資人的獲利，也考慮之前文獻所探討的月效應，此將為處分效果帶來不一樣的視角。
    本研究結論如下: 投資人對獲利部位有較短持有期間的傾向、對虧損部位有較長持有期間的傾向，而這些人相較於延後獲利時間、提早認賠的投資人有較差的績效。
    因此，投資人可藉由自身對此行為的關注與修正，來提高投資獲利。然而，本研究並未發現月效應的存在。這些結果在運用後進先出法的敏感度分析中呈現穩健。本研究所運用的衡量比率非常新穎，該研究方法可以運用至其他研究樣本來檢視結果是否一樣。例如: 股票市場、共同基金，等等。

    People make investments in the hope to make profits from investments they invest in. However, many research in behavioral finance show that investors have a tendency, called disposition effect, which may lessen the profits they earn from their investments. Disposition effect is a tendency to realize winning investments too early, while holding losing investments too long. Many previous research study disposition effect using several measurements, such as payoff, holding duration, trading quantity, volatility, etc. However, the direct measurement to see directly the tendency of holding winning investments in shorter duration and holding losing investments in longer duration is still limited. Therefore, this study is conducted using a new ratio, called GSLL (Gain Short Loss Long) to capture the phenomenon of disposition effect.
    Data used in this study is a unique order and trade database from Taiwan Futures Exchange (TAIFEX), particularly Taiwan Stock Index Futures (TX) Contract, from March 27, 2006 to July 31, 2008. The data consists of trading data from various types of investors, which will allow the analysis for each type of investors in more precise way. The types of investors that are analyzed in this study are futures proprietary firms (including domestic and foreign firms), domestic institutional investors, foreign institutional investors, domestic individuals, foreign individuals and others. This study uses FIFO (First-In-First-Out) method to count for investors’ profits. Moreover, this study also takes into account the monthly effect which according to previous research will give different magnitude of disposition effect.
    The results of this study show that as people have tendency to hold winning investments in shorter duration and to hold losing investments in longer duration, their investments’ average performances will be worse compared to those who realize gains later and realize losses faster. Therefore, investors may be advised to lower the tendency to gain short and loss long to maximize the payoff they may earn. There is no monthly effect of GSLL found in data used. These results are robust after sensitivity analysis using LIFO (Last-In-First-Out) method. As the GSLL ratio use in this study is still novel, the methodology can be applied in other data to see whether the results will be the same or not, for example in stocks market data, mutual fund data, etc.

    Master Thesis Recommendation Form ii Qualification Form by Master’s Degree Examination Committee iii Abstract iv 摘要 v Acknowledgements vi Contents vii List of Figures x List of Tables xi Chapter 1 Introduction 1 1.1 Research Background 1 1.2 Research Objectives 2 1.3 Research Flowchart 2 Chapter 2 Literature Review 4 2.1 Theoretical Part 4 2.1.1 Expected Utility Theory 4 2.1.2 Prospect Theory 4 2.1.3 Disposition Effect 5 2.1.4 Alternative Behavioral Theory 5 2.1.5 Summary of Theoretical Part 6 2.2 Empirical Part 6 2.2.1 Summary of Empirical Part 9 2.3 Variables Affecting Disposition Effect 9 2.3.1 Profitability 9 2.3.2 Number of Round Trips/Quantity 10 2.3.3 Duration 12 2.3.4 Volatility 13 2.3.5 Long or Short Position 14 2.3.6 Time Preference 14 2.3.7 Attitude 15 2.3.8 Winning Probability 16 2.3.9 Monthly Effect 16 2.3.10 Different Types of Investors 17 Chapter 3 Data and Methodology 19 3.1 Data 19 3.2 Methodology 19 3.3 Variables 20 3.3.1 Average Payoff 20 3.3.2 GSLL (Gain Short Loss Long) 20 3.3.3 GFLM (Gain Few Loss Many) 23 3.3.4 Number of Round Trips 26 3.3.5 Duration 26 3.3.6 Volatility 26 3.3.7 Initial Long or Short 26 3.3.8 Time Preference 27 3.3.9 Attitude 27 3.3.10 Winning Probability 27 3.3.11 Monthly Effect 27 3.3.12 Investor Type 28 3.4 Models 28 3.5 Data Analysis Method 28 3.5.1 T-Test 28 3.5.2 Collinearity Test 28 3.5.3 Heteroscedasticity Test 29 3.5.4 Regression Analysis 29 Chapter 4 Empirical Result 30 4.1 Descriptive Statistics 30 4.2 T-Test (Mean Comparison between Types of Investor) 39 4.3 Collinearity Test 39 4.4 Heteroscedasticity Test 40 4.4.1 No Dummy Variables 40 4.4.2 With Dummy Variables 40 4.5 Regression Analysis with Average Payoff as Dependent Variables 40 4.6 Monthly Effect 52 4.7 Sensitivity Analysis 53 Chapter 5 Conclusion 61 5.1 Conclusions 61 5.2 Recommendations 63 References xiii

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    http://www.taifex.com.tw/eng/eng2/TX.asp
    http://www.twse.com.tw/en/trading/trading_days.php

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