Relationship between Investor Sentiment and Gambling Preferences in the Options Market

[[abstract]]本文以2002年至2007年臺灣證券交易所股價指數選擇權契約的日內資料作為研究標的，探討投資人情緒、賭博偏好及損益的關係。實證結果顯示，投資人情緒與總體經濟及天氣良窳息息相關，對於賭博偏好則呈現正向的影響，這樣的情形發生在散戶身上更為顯著；在損益帳戶部分，整體而言，在樣本期間散戶是虧損，而國內法人、外資及造市者則為獲利；我們也發現，投資人情緒與賭博偏好對於損益均呈現負向的關係，本研究也藉由前期損益對投資人情緒與賭博偏好，實證投資人在展望理論中的風險態度，發現當前期發生損失（獲利）時，賭博偏好會隨之上升（下降），而投資人情緒部分則會低落（增強）。[[abstract]]This dissertation use Taiwanese index options from 2002 to 2007 to investigate the relationship among investor’s sentiment gambling preferences and profit The empirical results show that investor sentiment is positively correlated with gambling preferences This phenomenon is especially apparent in retail investors As a whole these investors make negative profit from their investments whereas domestic and foreign institutional investors as well as market makers make positive profit during the whole sample period We also discovered that investor sentiment is negatively correlated with profit This research also studies the impact of investors’ previous profit on their sentiment and gambling preferences The empirical results coincide with prospect theory; if the investors’ previous profit is negative (positive) then their subsequent gambling preferences will increase (decrease) and their subsequent sentiment will be more bearish (bullish