According to Kahneman and Tversky’s prospect theory (1979), the investment behaviors are not entirely rational. Shefrin and Statman (1985) proposed the disposition effect based on prospect theory. They pointed out the investors are tend to sell winners too early and hold losers too long. Recently, much research discusses the disposition effect, but few researches discussed against the financial crisis. However, the high risk that can cause the investment decisions during financial crisis. The individual investors’ proportion is high in Taiwan stock market. This situation is vulnerable to external shocks. In this paper, we use Weber and Camerer’s method (1998) to estimate the disposition effect. We discuss whether the disposition effect of individual investors will be affected by the financial crisis or not. The information was during January 2007 to December 2010. From empirical results, the disposition effect of individual investors during the financial crisis is less than other periods. The results mean the investors’ disposition is affected by the financial crisis. And changes in the disposition effect of individual investors are insignificant with the other period. Secondly, the financing investors’ disposition effect is larger than the short selling investors during financial crisis. Moreover, a positive relationship is existed between the individual investors’ disposition effect and the prior rate of return.
