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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53816


    Title: 台灣股票市場個別投資人存活率研究(II)
    Other Titles: A Survival Analysis of Individual Investors on Taiwan Stock Exchange
    Authors: 周行一
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 存活率;個別投資人;交易經驗
    survival analysis;individual investor;investment experience
    Date: 2008
    Issue Date: 2012-10-22 11:10:50 (UTC+8)
    Abstract: 財務金融文獻鮮少探討股票市場中投資人的存活率,即投資人進入證券市場第一次 投資之後、其間買賣證券的行為(買賣股票的種類與頻率)、投資績效、存活在市場之 中的期間長短(即投資壽命)與哪些投資人的投資特性與投資方式能夠存活在證券市場 中。 研究股票市場中投資人的投資壽命與存活率的重要性,對政府政策的制訂、市場交 易制度的設計、正確投資觀念的建立與協助財務經濟學者建立更完整的投資組合理論模 型,乃至實務上投資人的理財規劃分析等諸多層面,皆具有重要的影響。第一、關於政 府政策制訂上,研究投資人的投資壽命,可分析政策的施行對投資人的交易意願與存活 率的影響,俾提供未來相關單位進行政策制訂的參考準據。第二、有關市場交易制度的 設計上,我們可研究在何種交易機制,在相同的投資績效上,投資人可在市場中交易的 比較長。第三、我們希望透過研究計畫的執行,提升行為財務學領域研究層次(著重於 短期的投資人心理、交易行為對投資績效的影響)至長期投資人的投資壽命與其影響因 素。第四、提供目前投資理論中除了以consumption-based pricing models、跨期理論、異 質所得模型與行為財務理論模型之外,另一種分析長期投資人實際參與股票市場的實證 結果,藉此提供爾後建立投資理論中的參考。
    Extant literature in behavioral finance focus on investigating how mental biases affect individual』s investing performance. However, the scant discussions study the relationship of individual』s trading behaviors and their survival rates (investing life). Most existing research from the perspective of behavioral trading does not analysis the life of individual』s investment, a period from entering the market to leave. In this research, we will document the survivor profile of individual investors on Taiwan Stock Exchange from 1990 to 2005. Firstly, we will analyze the profile of survivors versus non-survivors. Secondly, we will study the factors in determining survivorship: trading frequency, the extend of leverage trading, the degree of diversification and trading experience. On uncovering the reason for investors to survive in the market, our research』s implication will shed light on the trading mechanism and assets pricing models. We hope to contribute literature by a long-term study on the investors』 trading duration and entering-exiting behaviors.
    Relation: 應用研究
    學術補助
    研究期間:9708~ 9807
    研究經費:530仟元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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