Disposition Effect in Taiwan Futures Markets A Study from Brokers' Perspective

• Main Authors: Chen, Ying Han, 陳英翰
• Other Authors: Lin, Ching Ting
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/99925715681002149662

碩士 === 國立政治大學 === 金融研究所 === 103 === Using a unique intraday dataset from Taiwan futures markets, this paper calculates the disposition effect to investigate the heterogeneity of trading behaviors among four types of investors: individuals, domestic institutions, proprietaries, and foreigners. The results show that both individuals and domestic institutions exhibit the highest disposition effect. However, the disposition effect is weaker for proprietaries and foreign traders. The evidences also indicate that individuals who use brokers which arrange trades for individual clients only are more affected by the disposition effect than individuals who use brokers that have both individual and foreign clients. We propose three possible explanations: (1) Brokers which arrange trades for both individual and foreign clients may offer better services. (2) Some individuals are more informed than the others. (3) Social connection. This study contributes to literatures on the disposition effect by highlighting the role of brokers.