| Summary: | 碩士 === 輔仁大學 === 應用統計學研究所 === 90 === This paper investigates Taiwan stock investors’ trading behavior. We explore whether investors behave as the disposition effect stated─realized their winners too soon while hold their losers too long. Compare to domestic study, our study have 53,680 accounts’ trading records in research period, January 1998 to September 2001. And we compute investors’ recent average purchase price as a reference point. Compare to foreign study, we construct regression model to predict what kind investor has more obvious disposition effect.
The empirical results in this study as follows:
First, Taiwan stock investors behave as the disposition effect─they are significant reluctant to realize their losers. By calculating excess buy-and-hold returns over the period subsequent to each stock, we find that ex post return of paper losses are less than ex post return of realized gains. This result implies investors makes wrong decision.
Second, according the regression model, we find that female, open account early, non-credit investors have more obvious disposition effect. Third, by computing mean return on stock, we find that the stock which are held are much greater magnitude than those realized. This result confirms Taiwan stock investors trading frequently and selling winners too soon.
Finally, classifying sample by absolute value of return. We find that stock investors are significantly willing to realize their losses when they face high absolute value of return. This result may because of investors have self-control emotion when they meet great loss. By computing ex post return, we find that the group of highest absolute value of return which ex post return of paper losses turn to active in three months and in this time ex post return of paper losses are greater than realized gains. This result implies investor make correct decision when they face high absolute value of return.
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