Disposition effect of difference types of investors in Taiwan Futures Market

• Main Authors: Yi-ling Wu, 吳宜凌
• Other Authors: none
• Format: Others
• Language: en_US
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/72224388235155867305

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === In this paper we examines whether the disposition effect, the tendency of investors to ride losses and realize gains. We use the trading records of all market participants from January 1, 2008 to October 31, 2008 and measure the disposition effect (DE) according the Odean (1998). We use the methodology which presents evidence on the existence of the disposition effect in Taiwan future market. Using a unique dataset, we find strong evidence for the disposition and explain this in terms of investor characteristics on three types of investors. We divide traders into three categories which are individual traders, foreign investors, domestic institutional investors. And we separate domestic institutional investors into investment trusts and other institutional investors. There are three main findings, first, individuals investors, other institutional investors and investment trusts investors exhibit disposition effect. Second, individual investors are much more susceptible to the disposition effect than all the domestic institutional and foreign investors. Third, sophisticated and experienced investors show less disposition effect.