處分效果、紀律投資與股價趨勢

The Disposition Effect, Disciplined Investing and the Stock Price Trend

10.29735/SJEB.201006.0004

劉海清(Hai-Ching Liu)；傅英芬(Ying-Fen Fu)

處分效果 ； 紀律投資 ； 股價趨勢 ； 移動平均線 ； the disposition effect ； disciplined investing ； stock price trend ； moving average

東吳經濟商學學報

69期（2010 / 06 / 01）

83 - 116

繁體中文

雖然過去已有不少文獻證實專家與個別的投資人都存在有處分效果的現象，但鮮少有文獻探討規避處分效果的方法與成效。針對投資人這種不理性的投資行為，本文試圖探討是否市場上最簡單的交易法則就可以規避掉此種偏誤。本文的貢獻在於立基於紀律投資的基礎上，證實只要能夠遵循紀律投資，那麼即使像移動平均線(Moving Average, MA)這種簡單的交易法則亦能夠規避處分效果，這也許是簡單的交易法則除了簡便外，能長期存在市場中的原因。此外新興市場因為股價趨勢波動性較高，所以使用紀律投資的方式對處分效果的規避程度較高而且獲利交易比例也較高，因此相較於已開發國家市場，紀律投資在新興市場的操作上也普遍有較佳的績效。

Although past literature verified that both professional and individual investors exist the disposition effect, little literature investigates the method and effect of the avoidance of the disposition effect. This study based on the basis of disciplined investing verifies that even the uncomplicated trading rule (MA) can help investors avoid the disposition effect. The effect of the avoidance of the disposition effect is more effective on the emerging markets than on the developed country markets. Moreover, the ratio of profit trading numbers over loss trading numbers and the performance of disciplined investing (MA) are better in emerging markets than in developed country markets.

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