A Study on The Marginal Purchase and Short Selling Investment Disposition Effect of Individual Investors in Taiwan Stock Market

• Main Authors: Chieh Tsao, 曹傑
• Other Authors: Ying-Sing Lin
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/55684160943800297226

碩士 === 國立高雄第一科技大學 === 財務管理所 === 95 === To hold losing stocks too long and to sell winning stocks too early has been labeled the disposition effect by Shefrin and Statman (1985). This paper employs the disposition coefficient from Weber and Camerer（1998）, and uses the redemption of marginal purchase data to represent the trading behavior of individual investors. Through the study, it appears that these investors indeed exhibit the disposition effect. Besides, in the sample period, we select 30 information electronic companies and 30 non-information electronic companies to analyze the different effects. Furthermore, this study also separates the sample into several benchmarks such as return-rate ranges, bull-bear periods and different months. From the evidence, we conclude that the disposition effect holds within each benchmark. Finally, we find that there is no significant difference of the Chinese New Year period (from January to February) relative to the other moths of the year, and no significant difference of the end of the year (December) relative to the other months of the year.