Re-examining the Disposition Effect of Retail Investors in Taiwan

• Main Authors: WU, CHUN-WEI, 吳俊緯
• Other Authors: LIU, SHI-MIN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/njjh86

碩士 === 國立臺北大學 === 經濟學系 === 105 === In the field of behavioral finance, the disposition effect is a popular research topic. Proposed by Shefrin and Statman (1985), the disposition effect means that investors have a tendency to sell the stocks making money for them too soon and hold the losing money stocks too long. Because the ratios of retail investors in Taiwan’s stock market keep falling, this study tries to use more recent data to investigate whether the disposition effect of retail investors in Taiwan’s stock market becomes smaller relative to that found in the literature. In this study, I adopt Weber and Camerer (1998)’s disposition coefficient and trading data of stockholders using margin purchases to explore the behaviors of Taiwan’s retail investors. If the stock trading data are grouped by different realized return rates, boom or bear markets, or distinct months in a year, the disposition coefficients obtained in this study are dissimilar with those discovered in the literature. However, my disposition coefficients are always significantly smaller. This suggests that the disposition effect of retail investors in Taiwan’s stock market has become weaker in recent years. Moreover, they have grown into more rational and prudential.