過度自信與紀律投資

Overconfidence and Disciplined Investing

10.6970/JTUTHSM.200910.0177

傅英芬(Ying-Fen Fu)；劉海清(Hai-Ching Liu)

過度自信 ； 移動平均 ； 股價指數 ； 新興市場 ； overconfidence ； moving average ； stock index ； emerging markets

臺南科大學報（人文管理）

28期（2009 / 10 / 01）

177 - 196

繁體中文

本文建構在Odean(1999)對過度自信的假說下，檢驗若依照程式交易的方式，將簡單的移動平均線交易法則運用於各國股價指數交易上，此種嚴守紀律的交易方式，能否幫助投資人規避掉過度自信這種行爲偏誤。本文研究結果顯示交易成本在0%與1%時，採移動平均線交易法則(Moving Average)操作不會有過度自信的情況，然而當交易成本增加到5.9%時，在某些情況下會有「訊息精確度的過度自信」，這種情形在已開發國家指數的操作上較明顯。本文進一步以實際持倉時間進行檢定，結果發現依移動平均線交易法則操作不但沒有過度自信的情形，更可進一步顯著地規避掉過度自信，而這種情形在新興市場中尤其明顯。

Past literature indicates that people including investors are overconfident. This study bases on the overconfidence hypothesis of Odean(1999) to test whether the simple trading rule (MA) can avoid the behavioral bias of overconfidence in 23 stock markets. The result of this study shows that MA does not have the phenomenon of overconfidence in most cases. When the transaction cost increases to 5.9%, MA operation has information precision overconfidence in some cases. This phenomenon is more evident in developed country markets than in emerging markets. This study further tests the overconfidence hypothesis based on the actual holding days. The result shows that there is no phenomenon of overconfidence of MA. Moreover, MA can avoid overconfidence especially in emerging markets.