The Disposition Effect of Individual and Institutional Investors in Taiwan

[[abstract]]台灣股市散戶與三大法人處分效果之研究 摘要 Shefrin and Statman(1985)延伸Kahneman and Tversky(1979)的展望理論(prospect theory)提出處分效果。所謂處分效果，描述的是投資人傾向處分賺錢的股票，持有賠錢的股票。本研究主要目的有下列二項：一是探討台灣股市散戶與三大法人是否存在處分效果？程度上是否因專業程度不同，而產生差異？二是不同類型的投資人持有不同期間股票，其報酬率對處分效果是否產生差異。本研究以個股之異常週轉率為因變數，分別以報酬率區間交易量總和及不同期間報酬率為自變數，進行複迴歸分析。研究期間為2000年1月4日至2000年12月30日。實證結果如下： 1.散戶、自營商、投資信託公司或是外國專業投資機構似乎都存在處分效果。 2.專業程度較高的投資人的處分效果比非專業投資人者輕微。 3.散戶短期獲利會造成異常週轉率增加。 4.三大法人短期獲利亦造成異常週轉率增加，但除投信外皆不顯著。[[abstract]]ABSTRACT Shefrin and Statman (1985) extended Kahneman and Tversky’s prospect theory and referred the disposition that investors tend to sell winners too soon and hold losers too long as the “disposition effect”. There are two main objectives in this paper. First, this paper examines the disposition effect of individual and institutional investors in Taiwan. We would like to investigate whether there exists difference between individual investors and institutional investors. The second objective of our study is to compare the disposition effect of different holding periods. By analyzing the abnormal turnover rates from January forth 2000 to December thirtieth 2000, we can make the conclusions as following: 1.It appears that individual investors, dealers, securities investment trust companies and QFII all exhibit the disposition effect. 2.The disposition effect is stronger for individual investors and dealers than securities investment trust companies and QFII. 3.The abnormal turnover rates will increase significantly if the individual investors win in the short run. 4.The abnormal turnover rates will also increase significantly if institutional investors, except dealers, win in the short run