各類別投資人過度自信及處分效果研究:以台灣加權股價指數期貨為例

Abstract

財務學中行為偏誤理論打破了傳統對於市場參與者應是理性的假設，因此能夠更貼近市場真實情況並對市場現象做出解釋。本篇研究聚焦行為偏誤中的過度自信與處分效果，藉由台灣期貨市場中各類別投資人前一日未/已實現損益對於下一日交易行為的影響，推測各類別投資人是否存在行為偏誤。國內法人機構在前一日帳上持有未實現獲利時，下一日存在過度自信傾向而無處分效果。外國機構投資人前一日有未實現獲利時，下一日無此兩種行為偏誤傾向；但在前一日帳上持有已實現獲利時，下一日存在過度自信。自然人則是在前一日帳上有未實現獲利時，下一日存在過度自信傾向而無處分效果;而在前一日帳上持有已實現獲利時，下一日存在過度自信。The behavioral bias in finance challenged the orthodox paradigm that the market participants are rational. The theory can reflect the real situations in the market and therefore can be used to explain the phenomenon in the market. This study focuses on two behavioral biases—overconfidence and disposition effect. By examining the effect of unrealized gains and losses of the previous day on the investors trading behavior on the next day in the Taiwan futures market, this study estimates whether behavioral biases exist in different types of investors.Domestic institutional investors tend to show the behavior of overconfidence on the next day, without disposition effect, when they have unrealized gains from the previous day. When foreign institutional investors have unrealized gains from the previous day, they show neither overconfidence nor disposition effect on the next day. However, if they hold realized gains from the previous day, they tend to have overconfidence on the next day. Individual investors demonstrate overconfidence, but no disposition effect, on the next day when they have unrealized gains from the previous day. If they have realized gains from the previous day, they also show overconfidence on the next day.