國內外之研究發現，投資人進行股票交易決策時，存在”關注效果”、”處分效果”、等因素造成投資人產生不理性的投資決策；同時亦有學者指出，台灣市場投資人，不論法人或個體投資人皆存在處分效果，甚至此效果會導致投資造成損失，但鮮少有文章提到面對股價大幅變化時，處分效果是消失還是依然存在。本文主要為探討:極端報酬下，三大法人與融資戶之交易行為差異，是否存在處分效果?又有那些事件會帶來關注效果?本研究使用2001/12/01~2012/3/01之股市交易資料，並透過實證分析發現:(1)極端報酬下，三大法人存在處分效果，融資戶則否(2)股價上漲時，只有外資關注是否有盈餘宣告，而股價下跌時，全體投資人皆會關心盈餘宣告(3)股票觸及漲停價與跌停價，是否造成關注效果，因投資人類型而異(4)儘管三大法人受關注處分效果影響，其交易績效依然優於融資戶。 / Many studies found that “Attention Effect” and “Disposition Effect” will affect investors when they are trading, even make them loss money. In Taiwan stock market, researchers indicate that even institutional investor also affect by disposition effect. But, there is no discussion of when investors trading with extreme return, do they still have the same behavior? This article is going to study how extreme return affect “attention effect” and “disposition effect”. We grab the trading data form 2001/12/01~2012/3/01, by analyzing we find that (1) Only institutional investors affect by “disposition effect”(2) Only foreign investors will pay attention to earning announcement when trading with great appreciation, but all of investors will follow the stock whether it has announce its earning when trading with great depreciation.(3) Whether stock price hit price limit will cause “Attention effect” is depends on which type the investor is.(4) though institutional investors will affect by disposition effect, they still can make access return.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0993570351 |
| Creators | 劉君勇, Liu, Chun Yung |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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