An Examination of the relationship between trader''s profitability and disposition effect.

• Main Authors: Yu-Han Jhang, 張宇涵
• Other Authors: Chao-Hsien Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/71404064355839686640

碩士 === 國立高雄第一科技大學 === 財務管理所 === 97 === The purpose of this paper is to find whether the disposition effect is different between Electronic Index Futures and Financial Index futures and the links between the disposition effect and the profitability of individual traders in Taiwan Futures Exchange (TAIFEX). By tracing their every transaction, we examine how traders dispose their positions, and realize gains or losses. We also trace their profitability and show it varies depending on their trading days and volume, and, most importantly, whether they exhibit the disposition effect. The results show that losers have more disposition effect. Instead, there’s no disposition effect among winners. Besides, volume is the most dominant determinant of profitability. Trading volume is positively related to profits. The more trading volume the winners have, the more profitable they are; the more trading volume the losers have, the more loss they have. Unprofitable traders suffer more losses as they trade more suggests that traders need to know themselves well and be disciplined enough to quit when they are losing money.