系統識別號 | U0002-2506201314323300 |
---|---|
DOI | 10.6846/TKU.2013.01032 |
論文名稱(中文) | 股票市場上投資人交易之學習效果 |
論文名稱(英文) | Investor’s Learning Effect from Transactions in Stock Market |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 101 |
學期 | 2 |
出版年 | 102 |
研究生(中文) | 楊智軒 |
研究生(英文) | Chih-Hsuan Yang |
學號 | 600530520 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2013-06-23 |
論文頁數 | 68頁 |
口試委員 |
指導教授
-
林蒼祥
委員 - 謝劍平 委員 - 林蒼祥 委員 - 段昌文 |
關鍵字(中) |
處分效果 學習效果 存活分析 投資報酬 |
關鍵字(英) |
Disposition Effect Learning Effect Survival Analysis Performance |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
處分效果(Disposition Effect)係指投資人具有急售獲利與惜售損失的傾向,交易也是行為財務學探討投資人非理性行為的論點之一。本研究係利用處分效果來探討投資人對於交易是否具有學習效果。具體而言本研究依據Seru, Shumway and Stoffman (2010)以處分效果來估計投資人之學習效果,並對台灣股票集中市場的投資人進行學習效果之驗證分析。 本研究同時參考了Feng and Seasholes(2005)方式,使用醫學界所常見的存活分析(Survival Analysis)方式去估計投資人處分效果。最後再使用最大概似方法來予以估計衡量投資人交易其學習效果間之關聯性;本研究除了應用處分效果以估計投資人學習效果之外,亦利用投資人的投資報酬率(Performance)以估計其學習效果。 最後,台灣股票市場上對投資人交易的學習效果顯示,當市場報酬率下降時處分效果特別低,表示學習效果較好;而在投資人交易報酬率與經驗之間的關係呈現正比現象,表示有經驗的交易者,其報酬率較為理想,學習效果較好。 |
英文摘要 |
The disposition effect that investors are less willing to recognize losses which they would be forced to do if they sold assets which had fallen in value, but are more willing to recognize gains. Use disposition effect to estimate learning for trading by investors. Refer to Seru ,Shumway and Stoffman(2010) theory and ues the method to test and verify in the Taiwan stock market in this study. Refer to Feng ,Seasholes(2005) method for Survival Analysis to estimate disposition effect, using the maximum likelihood method to measure the relationship between transaction and learning in this study;Not only use disposition effect to estimate learning effect but also use performance to estimate learning effect. Finally, learning effect for investors trading on the Taiwan stock market, when market return of rates fall, the disposition effect is especially low, which means that learning is better; Investors trading relationship between the rate of return and experience present is proportional, which means that experienced traders, the rate of return is more, and learning better. |
第三語言摘要 | |
論文目次 |
第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻回顧 5 第一節 行為財務學之文獻探討 5 第二節 處分效果之文獻探討 15 第三節 學習效果之文獻探討 18 第三章 研究方法 20 第一節 研究模型及研究變數定義 20 第二節 實證方法 26 第四章 實證結果 27 第一節 樣本資料來源 27 第二節 處分係數與績效敘述統計 29 第三節 投資交易之實證結果分析 43 第五章 結論與建議 62 第一節 結論 62 第二節 研究建議 64 參考文獻 65 表目錄 表 1-1 各變數之敘述統計 ................................ ................................ ..................... 30 表 1-2 散戶各 變數之敘述統計 ................................ ................................ ............. 32 表 1-3 外資 各變數之敘述統計 ................................ ................................ ............. 34 表 1-4 自營商 各變數之敘述統計 ................................ ................................ ......... 36 表 1-5 投信 各變數之敘述統計 ................................ ................................ ............. 38 表 4-1 一月績效與學習果實證分析 ................................ ................................ 43 表 4-2 二月績效與學習果實證分析 ................................ ................................ 44 表 4-3 三月績效與學習果實證分析 ................................ ................................ 44 表 4-4 四月績效與學習果實證分析 ................................ ................................ 44 表 4-5 五月績效與學習果實證分析 ................................ ................................ 45 表 4-6 六月績效與學習果實證分析 ................................ ................................ 45 表 4-7 七月績效與學習果實證分析 ................................ ................................ 45 表 4-8 八月績效與學習果實證分析 ................................ ................................ 46 表 4-9 九月績效與學習果實證分析 ................................ ................................ 46 表 4-10 十月績效與學習果實證分析 ................................ .............................. 46 表 4-11 十一 月績效與學習果實證分析 ................................ .......................... 47 表 4-12 十二月績效與學習果實證分析 ................................ .......................... 47 表 4-13 加權指數報酬率為正值時績效與學習果實證分析 .......................... 48 表 4-14 加權指數報酬率為負值時績效與學習果實證分析 .......................... 48 表 4-15 二月處分係數與學習效果實證析 ................................ ...................... 50 表 4-16 三月處分係數與學習效果實證析 ................................ ...................... 50 表 4-17 四月處分係數與學習效果實證析 ................................ ...................... 51 表 4-18 五月處分係數與學習效果實證析 ................................ ...................... 51 表 4-19 六月處分係數與學習效果實證析 ................................ ...................... 51 表 4-20 七月處分係數與學習效果實證析 ................................ ...................... 52 表 4-21 八月處分係數與學習效果實證析 ................................ ...................... 52 表 4-22 九月處分係數與學習效果實證析 ................................ ...................... 52 表 4-23 十月處分係數與學習效果實證析 ................................ ...................... 53 表 4-24 十一 月處分係數與學習效果實證析 ................................ .................. 53 表 4-25 十二 月處分係數與學習效果實證析 ................................ .................. 53 表 4-26 加權指數報酬率為正值時處分效果與學習實證析 .................. 54 表 4-27 加權指數報酬率為負值時處分效果與學習實證析 .................. 55 表 4-28 散戶 績效與學習果實證分析 整理表 ................................ .................. 56 表 4-29 散戶 處分係數與學習效果實證析 整理表 ................................ .......... 56 表 4-30 自營商 績效與學習果實證分析整理表 ................................ .............. 57 表 4-31 自營商 處分係數與學習效果實證析 整理表 ................................ ...... 57 表 4-32 投信 績效與學習果實證分析 整理表 ................................ .................. 58 表 4-33 投信 處分係數與學習效果實證析 整理表 ................................ .......... 58 表 4-34 外資績效 與學習效果實證分析 整理表 ................................ .................. 59 表 4-35 外資 處分係數與學習效果實證析 整理表 ................................ .......... 59 表 4-36 綜合績效 與學習效果實證分析 整理表 ................................ .................. 60 表 4-37 綜合 處分係數與學習效果實證析 整理表 ................................ ..........60 圖目錄 圖 1-1 研究架構流程 圖 ................................ ............. 4 圖 2-1 展望理論的價值函數 ................................ ........ 16 圖 4-1 報酬率、 處分效果及 報酬率曲線圖 ............................ 42 圖 4-2 2007 年各月總成交值 ................................ ....... 42 |
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