An Empirical Study on the Disposition Effect of Investors in Taiwan,

[[abstract]][[abstract]]Shefrin and Statman (1985)提出之處分效果(Disposition effect)，意指投資人存在急售利得、惜售虧損的投資傾向。本研究以處分效果為主軸，參照Weber and Camerer (1998)所提出之處分係數，以兩岸三地股票市場為樣本，嘗試驗證兩岸三地股市投資人之投資行為是否存在處分效果的傾向，並進一步探討不同市場行情對處分效果之影響，另對兩岸三地股市投資人在面對重大事件下處分效果之驗證。 實證結果發現：1.兩岸三地股市投資人中，除了中國大陸投資人之投資行為存在處分效果，其餘兩地股市投資人皆不存在處分效果的傾向。2.兩岸三地股市投資人之投資行為在多頭行情顯著存在處分效果的傾向，空頭行情則不存在處分效果。3.台灣股市與中國大陸股市在亞洲金融風暴期間，投資人之投資行為有明顯的處分效果的傾向，香港股市投資人在網路泡沫化期間，則不存在處分效果的傾向。[[abstract]][[abstract]]Investors the tendency of sell winning stocks too soon and to hold losing stocks too long has been labeled the disposition effect by Shefrin and Statman (1985).This study aims to the disposition effect. According to the point of disposition coefficient Weber and Camerer (1998), the research takes the sample of Taiwan, Mainland China, and Hong Kong. Trying to examine the behaviors of the investor exist the trend of disposition effect in those areas or not. Furthermore, this study explores the influence of disposition effect in different economic stage. The bad news in Taiwan, Mainland China, and Hong Kong stock market the study tries to find the tendency of disposition effect. The empirical result indicates in the following description: (1)The investor of Mainland China have the disposition effect, the other two areas have not the disposition effect. (2)The disposition effect is obvious in bull market, and the effect is not exist in the bear market. (3)Under the East Asia Financial Crisis in Taiwan and Mainland China stock market, investors obviously have the tendency of disposition effect. Under The Burst of Internet Bubbles in Hong Kong stock market investors obviously have not the tendency of disposition effect