過度自信與處分效果-以台灣權證市場為例

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/44965

Title:	過度自信與處分效果-以台灣權證市場為例 An Empirical Study of Overconfidence and Disposition Effect: Evidence from Taiwan Warrant Market
Authors:	許世延
Contributors:	財務金融學系
Keywords:	權證市場權證特性過度自信處分效果交易績效 warrants market warrant characteristics overconfidence disposition effect trading performance
Date:	2019
Issue Date:	2019-08-29 10:49:09 (UTC+8)
Abstract:	台灣權證市場開放券商發行權證業務至今已有21年，且隨著慢慢地推廣與投資者深入了解後，權證也漸漸的成為投資者的選擇以及喜好的投資與避險工具之其中一種。本文主旨在於探討台灣權證市場中不同類型交易人的行為偏差(過度自信、處分效果)，首先，本文目的討論不同類型之交易人是否有此現象，其次，本文在進一步分析權證特徵(標的股票的公司規模、有效(實質)槓桿、時間價值、隱含波動)於不同交易人之處分效果與過度自信是否產生差異。若不同交易人存在過度自信與處分效果，最後，本文在分析這兩種行為偏差是否會對交易人的交易績效產生影響。實證結果發現自然人與其他一般法人皆存在過度自信與處分果之現象，且權證特性對於自然人與其他一般法人之處分效果與過度自信大多存在顯著之影響。另外，過度自信與處分效果對於自然人與其他一般法人之交易績會造成顯著影響。 It has been 21 years since the first warrant was initially public offered in the Taiwan security markets. As the promotion and better understanding of warrants, warrants have gradually become one of the popular vehicles for investors to invest and hedge. This thesis aims to explore the behavioral biases (i.e., over confidence and disposition effects in trading) of types of traders (i.e., mutual funds, foreign investors, retail investors, and domestic institutions) in the Taiwan warrants market. First, thesis aims discusses which type of traders has such phenomena. Second, thesis aims further analyze the relations among the warrant characteristics (i.e., firm capitalization, lev-erage, time value, and implied volatility) and overconfidence and disposition effects in trading in the types of traders. Finally, thesis aims analyze whether these two be-havioral biases have an impact on the trading performance of retail investors. The empirical results indicate that the individual and domestic institutional in-vestors have significant behavioral biases of overconfidence and disposition effects, and the warrant characteristics have significant impacts on these two behavioral bias-es. Moreover, overconfidence and disposition effects also cause substantial impacts on the trading performance of individual and domestic institutional investors.
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