English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51664065      Online Users : 628
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/76585
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76585


    Title: 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
    Authors: 盧逸唐
    Lu, Yi Tang
    Contributors: 周冠男
    Robin K. Chou
    盧逸唐
    Lu, Yi Tang
    Keywords: 紀律
    處置效果
    行為財務
    discipline
    disposition effect
    behavioral finance
    Date: 2015
    Issue Date: 2015-07-14 10:37:29 (UTC+8)
    Abstract: 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.
    Reference: (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.
    Description: 碩士
    國立政治大學
    財務管理研究所
    102357013
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102357013
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback