The investors΄ trading behavior during financial tsunami of Taiwan Stock Index Futures

• Main Authors: Shu-Ting Chang, 張書廷
• Other Authors: Shean-Bii Chiu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/02376530246421629563

碩士 === 臺灣大學 === 財務金融學研究所 === 98 === In 2008, financial tsunami resulted from subprime mortgage swept the world, including Taiwan where caused many investors to face the extreme lose of money. Generally speaking, short-selling in future markets was easier than in stock markets; therefore, investors had different behaviors in both markets, especially in bear markets. This paper concerns the investors in Taiwan futures market whether existed the dispositions effect of behavioral finance by using Cox Proportional hazard model to quantize this effect. The data during the most serious bear period in Taiwan futures market from May 2008 to December 2008 is adopted. There are 21,279,793 transactions in Taiwan stock index futures and small-scale ones by all investors. In order to go still one step further to develop this paper, I set up five categorizations to compare disposition effect each other. There are five significant results from this paper as follow. (i)Status: Individual investors are bigger than non-individual ones. (ii)Frequency: Non-matured investors are bigger than matured ones. (iii)Exp_2000: Investors who never experienced tech bubble in 2000 are bigger than ones who had experienced it. (iv)Cost: Investors who bought products with higher transaction costs is bigger than that with lower Transaction costs. (v)Attitude: Pessimistic investors are bigger than Optimistic ones.