| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 107 === Disposition Effect which means the investor’s tendency to sell winning stocks too soon and hold losing stocks too long is one of the behavior economic theory. This theory was propounded by Shefrin and Statman(1985).
In past, there are many papers studied the disposition effect in Taiwan market, but few of them do the transational comparison. To fill the missing, this paper does the disposition effect research in the difference between Taiwan and the US stock markets.
This paper uses the methodology named disposition effect coefficient was derived from Weber and Camerer(1998), and takes the 832 stocks from Taiwan market and the 5555 stocks from the US market as research subjects to compare the difference of disposition effect between these two markets. The study period is from January 1st, 2015 to June 30th, 2018. Empirical results are as follows :
1. Both stock markets have the disposition effect, and the disposition effect in Taiwan market is stronger than the US market.
2. All months in Taiwan have the disposition effect, but the US market doesn’t have the disposition effect in November and December.
3. Wholesale and retail industries in Taiwan and primary industrial sectors, constuction and livelihood industries in the US don’t have the disposition effect.
4. Taiwan investors have the disposition effect when facing the big firm size company, but the US investors don’t have it.
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