政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76585
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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/76585


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/76585


    题名: 紀律與處置效果：以臺灣期貨市場為例
    Discipline and Disposition Effect：Evidence from the Taiwan Futures Exchange
    作者: 盧逸唐
    Lu, Yi Tang
    贡献者: 周冠男
    Robin K. Chou
    盧逸唐
    Lu, Yi Tang
    关键词: 紀律
    處置效果
    行為財務
    discipline
    disposition effect
    behavioral finance
    日期: 2015
    上传时间: 2015-07-14 10:37:29 (UTC+8)
    摘要: Previous research suggests that the disposition effect is a costly behavioral bias. A study argues that market professionals usually use the term ‘discipline’ to indicate trading strategies that minimize the influence of the disposition effect. In this paper, we examine two hypotheses. First, we test whether discipline could minimize the influence of the disposition effect on trading performance among individual investors. Second, we examine whether the influence of the disposition effect on trading performance under different levels of discipline. Using the dataset from TAIFEX, we show that the discipline measurement we used is more suitable for professional investors than amateurs. Furthermore, we demonstrate that under different levels of discipline, the influence of the disposition effect on trading performance will be different. Investors who exhibit a high level of discipline and a low level of disposition effect tend to have better trading performance.
    參考文獻: (1) Choe, Hyuk, and Yunsung Eom. "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29.6 (2009): 496-522.
    (2) Dhar, R., and Zhu, N, 2006. Up Close and Personal: Investor Sophistication and the Disposition Effect, Management Science, 52(5), 726-740.
    (3) Feng, L., and Seasholes, M.S., 2005, Do investor sophistication and trading experience eliminate behavioral biases in financial markets? Review of Finance 9, 305-351.
    (4) Frino, A., Johnstone, D., & Zheng, H. (2004). The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior?. Journal of Banking & Finance, 28(2), 353-372.
    (5) Kahneman. D., and Tversky, A., 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.
    (6) Li, H.C., Lin, C.H., Cheng, T.Y., and Lai, S., 2013. How Different Types of Traders Behavior in the Taiwan Futures Market, Journal of Futures Markets, 33(12), 1097-1117.
    (7) Locke, P. R., and Mann, S.C., 2005. Professional Trader Discipline and Trade Disposition, Journal of Financial Economics, 76(2), 401-444.
    (8) Nicolosi, G., Peng, L., and Zhu, N, 2009. Do Individual Investors Learn from Their Trading Experience? Journal of Financial Markets, 12(2), 317-336.
    (9) Odean, T., 1998. Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53(5), 1775-1798.
    (10) Seru, A., Shumway, T., and Stoffman, N., 2010. Learning by Trading, Review of Financial Studies, 23(2), 705-739.
    (11) Shefrin, H., and Statman, M., 1985. Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance, 40(3), 777-790.
    (12) Shu, P. G., Yeh, Y. H., Chiu, Sheam. B., and Chen, H.C., 2005. Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal, 13(2), 201-223.
    (13) Weber, M., and Camerer, C., 1998. The disposition effect in Securities Trading: An Experimental Analysis. Journal of Economic Behavior and Organization, 33(2), 167-184.
    描述: 碩士
    國立政治大學
    財務管理研究所
    102357013
    103
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0102357013
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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