| Summary: | 碩士 === 國立臺灣師範大學 === 管理研究所 === 106 === This paper takes the Taiwan futures market as an example, and adopts the period from January 2007 to 2009 as the research interval to explore the impact of investors on the volatility of the futures market. In order to accomplish this, the behavior of two kinds of investors with different psychological conditions on the futures market is analyzed and the degree of impact of these two kinds of financial behavior is calculated. The investors are divided into groups of top 10%, top 15% and top 20% so as to explore the effects of different degrees of overconfidence or disposition effect on futures market volatility. We find that the disposition effect increases the volatility of the futures market, whereas overconfidence reduces the volatility of the market. Finally, the vector autoregression is used in the Taiwan futures market to further explore the relationship between the futures market and investors with overconfidence and the disposition effect. We find that the disposition effect will lead the market; however, overconfidence does not show an obvious relationship and only has an impact on investors with certain types of behavior or in certain lag lengths.
|
|---|
