The Disposition Effect of Individual and Institutional Investors in Taiwan

• Main Authors: Yu-Jei Hsu, 許祐瑞
• Other Authors: Wen-Ming Szu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/06827656743470406332

碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT Shefrin and Statman (1985) extended Kahneman and Tversky’s prospect theory and referred the disposition that investors tend to sell winners too soon and hold losers too long as the “disposition effect”. There are two main objectives in this paper. First, this paper examines the disposition effect of individual and institutional investors in Taiwan. We would like to investigate whether there exists difference between individual investors and institutional investors. The second objective of our study is to compare the disposition effect of different holding periods. By analyzing the abnormal turnover rates from January forth 2000 to December thirtieth 2000, we can make the conclusions as following: 1.It appears that individual investors, dealers, securities investment trust companies and QFII all exhibit the disposition effect. 2.The disposition effect is stronger for individual investors and dealers than securities investment trust companies and QFII. 3.The abnormal turnover rates will increase significantly if the individual investors win in the short run. 4.The abnormal turnover rates will also increase significantly if institutional investors, except dealers, win in the short run.