獲利及市場狀況對台灣期貨市場交易人處分效果之影響

Abstract

本研究旨在探討台灣期貨市場交易人前期處分效果及前期獲利狀況對本期處分效果之影響，進一步將構成處分效果之實現利得比率及實現損失比率拆分檢視，並以市場報酬率、市場波動度、台指選擇權波動率指數及全球經濟政策不確定性指數分析市場狀況如何影響前期處分效果或前期獲利與本期處分效果間之關係，同時比較不同交易人類型及交易標的間之差異，深入探究台灣期貨市場之處分效果。本研究利用西元2009年9月至2012年11月台股期貨及小型台指期貨交易人之日內逐筆成交資料進行實證研究，結果發現，前期處分效果較強之交易人表現出相對較強的本期處分效果，而無論前期是否具有處分效果，前期獲利大體上會使交易人表現出較弱的本期處分效果。前述結果亦會受市場狀況之不同所影響，當市場狀況差時，前期處分效果對本期處分效果之正向影響大體上較市場狀況佳時小，且主因係來自實現損失比率之增加；而不同市場狀況下前期獲利對本期處分效果之負向影響變化則主要係因實現利得比率之增減。This research aims to investigate the impact of the prior disposition effect and prior profit on the current disposition effect in the Taiwan futures market. In addition, the research examines the proportion of gains realized (PGR) and proportion of losses realized (PLR) as components of the disposition effect. The analysis also considers the influence of market returns, market volatility, the TAIEX Options Volatility Index (TAIWAN VIX), and the Global Economic Policy Uncertainty Index, on the relationship between the prior disposition effect or prior profit and the current disposition effect. Furthermore, the study compares the differences among different trader types and trading assets to provide a comprehensive exploration of the disposition effect in the Taiwan futures market. Empirical research was conducted using the intraday transaction data of TAIEX Futures and Mini-TAIEX Futures traders from September 2009 to November 2012. The results reveal that traders with stronger prior disposition effects tend to show stronger current disposition effects. Moreover, regardless of the prior disposition effect, prior profit generally generates a weaker current disposition effect. These findings are also influenced by market conditions. When market conditions are unfavorable, the positive impact of prior disposition effects on the current disposition effect is generally smaller compared to favorable market conditions, primarily due to an increase in the proportion of losses realized. Conversely, the negative impact of prior profits on the current disposition effect varies across different market conditions, primarily due to changes in the proportion of gains realized.