台灣期貨交易所選擇權投資人的交易行為

• Main Authors: 王銘駿, Wang, Ming Chun
• Language: 英文
• Published: 國立政治大學
• Subjects: 行為財務學; 框架效應; 心理帳戶; Behavioral Finance; Narrow Framing; Mental Accounting
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0903575011%22.

在第一篇文章當中,我們論證了台灣選擇權市場的投資人交易行為符合Kahneman and Tversky (1981) 所提出來的框架效應. 更進一步, 我們發現投資人的專業程度, 交易複雜性, 與交易經驗能降低框架效應的行為偏誤. 在第二篇文章當中, 我們發現台灣選擇權市場投資人並無符合Thaler (1985) 所提出來的心理帳戶效應來編輯利得與損失. 但是對於混合利得與損失當中, 投資人仍有心理帳戶的現象來處理他們的選擇權部位. === In the first essay, we document support for the narrow framing effect proposed by Kahneman and Tversky (1981). Our findings that traders in an options market frame complicated investment decisions into the simpler ones support the narrow framing effect. Traders’ professionalism, sophistication and trading experience are negatively related with the degree of narrow framing, implying that these factors help to reduce investors’ behavioral bias. Our study bridges the gap between the psychological literature and financial literature in terms of the relationship between experience/sophistication and narrow framing. The results of this paper shed light on the decision-making process in an options market. In the second essay, complementary to Lim (2006)’s findings in regards to stocks market, we also claim that in a much more complex derivatives market, traders tend to frame gains and losses asymmetrically by editing or evaluating their outcomes into different accounts. Nevertheless, different from Thaler’s mental accounting theory (1985), we find investors are more susceptible to segregating losses and integrating gains when they liquidate their positions. Our empirical evidence shows that they also have asymmetry in the propensity to liquidate multiple options. The current study sheds a light on how investors perceive, categorize, evaluate and engage their outcomes in financial activities, in addition, under what circumstances investor integrate or separate their investment profits. The fact that investors’ responses to edit their outcomes vary across countries and securities markets highlights the complexity of human behavior and calls for further studies on a broader range of financial markets.