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| Title: | 賭徒謬誤對台股投資者的績效影響
The Impact of the Gambler's Fallacy on Investor Performance in the Taiwan Market |
| Authors: | 游懷賢
Yu, Huai-Shian |
| Contributors: | 周冠男
Chou, Robin K.
游懷賢
Yu, Huai-Shian |
| Keywords: | 賭徒謬誤
小數法則
台灣股票市場
Gambler’s Fallacy
Law of Small Numbers
Taiwan Stock Market |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:51:37 (UTC+8) |
| Abstract: | 本研究探討賭徒謬誤對一般投資人財富累積的負面影響，選取台灣市值前五百大的上市公司，剔除資料不足者後，以360檔個股共186,120筆週資料分析，期間為2015年1月1日至2024年12月31日。研究首先提及過去國內文獻中較少著墨的賭徒謬誤及熱手效應等心理偏誤，並說明背後的小數法則信仰，解析人們對機率事件的錯誤判斷，及此偏誤如何導致投資人錯誤預測股價走勢，相信檯面上的財經專家有此種預測能力，進而被傾銷一些無用的資訊。
根據台灣證券交易所（2023）資料，散戶約占市場交易量70%以上，散戶心理偏誤與行為對市場影響顯著，但他們多缺乏系統性投資策略，受到賭徒謬誤等心理因素左右，導致錯誤的交易判斷與決策。
本研究使用過去十年的股價週資料進行投資策略回測，以受賭徒行為影響的投資人(簡稱賭徒)、持續買入的投資人(簡稱買家)，以及完全隨機買入或放空的投資人三者，比較其累積損益。回測結果發現:第一，以台灣股市大樣本資料分析，賭徒與隨機投資人幾乎獲得零收益，顯著低於買家的簡單買進策略，而將樣本縮減至成交量較大的前一百大公司後，雖然賭徒顯著有正收益，但仍遠遠落後買家的報酬。第二，不同於其他文獻在美股市場的研究，台灣各類產業並未出現賭徒策略有效的現象，僅在醫療產業因單一股票極端值的影響，買家產生負收益，才有賭徒高於買家的結果。
因此，結果顯示台灣股票市場仍存在一定程度的效率，股價整體呈現長期增長的隨機漫步，對於資訊與技術都不如專業機構的散戶投資人而言，簡單累積財富的方式應該是持續、長期買入股票，不以個人認知去預測未來股票走勢，擇時買入或賣出。
This study investigates the negative impact of the gambler’s fallacy on individual investors’ wealth accumulation. The sample consists of the top 500 listed companies by market capitalization in the Taiwan Stock Exchange, excluding those with insufficient data, resulting in 186,120 weekly observations from 360 stocks between January 1, 2015, and December 31, 2024. The study first addresses psychological biases such as the gambler’s fallacy and the hot-hand effect, which have been less explored in domestic literature. It explains the underlying belief in the law of small numbers, which causes individuals to frequently misjudge probabilistic events. Such biases can lead investors to erroneously believe they can consistently predict future stock price movements or trust that financial experts possess such forecasting ability, thereby being misled by irrelevant information.
According to the Taiwan Stock Exchange (2023), retail investors account for over 70% of the market’s trading volume. Their psychological biases and behaviors significantly influence the market. However, these investors generally lack systematic investment strategies and are susceptible to biases like the gambler’s fallacy, resulting in flawed trading decisions.
Using historical weekly stock data over the past decade, this study conducts backtests on three investment strategies: investors influenced by gambler’s behavior (“gamblers”), consistent buyers who purchase stocks every week (“buyers”), and completely random investors who buy or short without predictive logic (“random”). The results reveal: First, in a large-scale sample of the Taiwan stock market, gamblers and random investors achieved near-zero returns, significantly underperforming buyers’ simple buy-and-hold strategy. When the sample is narrowed to the top 100 stocks by trading volume, gamblers show significant positive returns but still lag far behind buyers. Second, unlike findings from studies of the U.S. market, the gambler’s strategy does not demonstrate consistent effectiveness across Taiwanese industries. Only in the healthcare sector did gamblers outperform buyers, due to buyers experiencing negative returns influenced by extreme values in individual stocks.
Overall, these findings suggest that the Taiwan stock market retains a certain degree of efficiency, with stock prices following a long-term upward random walk. For retail investors who lack the information and expertise of professional institutions, a straightforward and consistent long-term buying approach remains the most reliable strategy for wealth accumulation, rather than attempting to time the market or predict stock price movements based on personal beliefs. |
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| Description: | 碩士
國立政治大學
財務管理學系
112357024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357024 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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