The Disposition Effect of Individual Investor During Financial Crisis - An Empirical Study of Taiwan

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题名:	The Disposition Effect of Individual Investor During Financial Crisis - An Empirical Study of Taiwan
作者:	Wang, Wei-Ting
贡献者:	財務金融學系
关键词:	Disposition Effect Financial Crisis Financing Short Sale
日期:	2014-07-09
上传时间:	2014-09-03 08:12:39 (UTC+0)
出版者:	Asia University
摘要:	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.
显示于类别:	[財務金融學系] 博碩士論文

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