查詢結果分析
來源資料
頁籤選單縮合
| 題 名 | 新冠疫情期間恐懼情緒與定錨效應對臺灣股市處分效果之影響=The Impact of Fear Factor and Anchoring Effect on the Disposition Effect in Taiwan Stock Market during the COVID-19 Pandemic |
|---|---|
| 作 者 | 吳舒帆; 何怡滿; | 書刊名 | 輔仁管理評論 |
| 卷 期 | 32:3 2025.09[民114.09] |
| 頁 次 | 頁60-89 |
| 分類號 | 563.54 |
| 關鍵詞 | 新冠疫情; 處分效果; 臺灣恐懼指數; 臺指選擇權波動率指數; 定錨效應; COVID-19 pandemic; Disposition effect; Taiwan fear index; Taiwan VIX; Anchoring effect; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本文研究目的在檢驗新冠疫情期間台灣股票市場是否有處分效果存在,並使用縱橫資料迴歸分析探討全球恐懼指數(GFI)、台灣恐懼指數(TFI)、台指選擇權波動率指數(VIX),以及52週高點比率等因素對於處分效果的影響,研究期間自2020年2月21日至2022年3月4日。本文以MSCI台灣指數成分股為研究對象,並使用Weber and Camerer(1998)提出的處分係數衡量處分效果。實證結果發現在新冠疫情期間台灣股票市場存在處分效果,並且台灣恐懼指數(TFI)、台指選擇權波動率指數(VIX),以及52週高點比率對於處分效果皆有顯著正向影響。建議主管機關可透過各項媒體管道多加宣導理性投資的觀念,讓投資人不易受到恐懼或恐慌等心理因素的影響而做出不理性的決策。 |
| 英文摘要 | The purpose of this study is to examine whether there is a disposition effect in Taiwan stock market during the COVID-19 pandemic period. In addition, we use the panel data regression model to analyze the impact of the Global Fear Index (GFI), Taiwan Fear Index (TFI), Taiwan volatility index (VIX), and 52-week high ratio on the disposition effect. The research period is from February 21, 2020 to March 4, 2022. This study takes the constituent stocks of MSCI Taiwan Index as the research sample. We use the disposition coefficient proposed by Weber and Camerer (1998) to measure the disposition effect. The empirical results show that during the COVID-19 pandemic period, there has a significant disposition effect in Taiwan stock market. We also find that TFI, Taiwan VIX and 52-week high ratio have significant positive impacts on the disposition effect. We recommend that the financial authorities can promote the rational investment concepts through various media channels frequently to prevent investors making irrational decisions based on their psychological fear factors. |
本系統中英文摘要資訊取自各篇刊載內容。