第五章 結論與建議
第二節 研究建議
本研究雖已利用台灣期貨交易所提供的委託檔與成交檔等資料，得以根據 個別投資人帳戶篩選出具有處分效果與過度自信的投資人行為，探討他們對台 灣期貨市場流動性之影響，但任何研究必有其可改善之處，我們提供以下建議 以便後續研究發展：
1. 本研究之主要變數為流動性變數，而其計算方式為刪除特定委託單前後委 託不均衡之差而來，其中委託不均衡加入市價和五檔買賣委託並分別給予
6、5、4、3、2 和 1 之權重，這樣的權重分配或許有另行改善之處。我們 建議後續研究可以分別計算出各檔委託買賣之成交機率為其權重，例如市 價成交機率為 1，這樣或許可以減少本研究高估或低估買賣五檔權重之誤 差，讓算出的委託不均衡更為準確。
2. 本研究由於資料來源之限制，利用投資人帳戶以計算處分效果或過度自信 時，追蹤時間最長僅一個月，原因為投資人帳戶一欄皆以代碼呈現，但此 代碼會在下一個月重新換掉，也就是說當月與次月同一代碼代表不同投資 人，這樣的限制使我們不能長期追蹤投資人帳戶，因而所篩選出的投資人 行為並不是那麼準確，畢竟一投資者若顯示出處分效果或過度自信行為一 定是長期的現象，短期的行為可能深受外在因素所干擾。因此我們建議後 續研究可以利用不同資料格式來檢驗長期的投資人帳戶，讓篩選出的交易 者其所顯示的投資人行為更有可靠性。
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附錄一
本研究為尋找過度自信交易人，分成過去有已實現正報酬而在三天內開倉 與因未實現正報酬而在三天內開倉兩種模式。文獻說明過度自信交易者的開 倉行為會損害他們的部位，因此我們將檢驗兩種開倉模式的部位其後續的報 酬情形，來決定到底是已實現正報酬還是未實現正報酬才是引起過度自信的 真正原因。因此本研究提出以下假說：
𝐻0 = 因已實現正報酬而開倉報酬率 ≥ 因未實現正報酬開倉報酬率 𝐻1 = 因已實現正報酬而開倉報酬率 < 因未實現正報酬開倉報酬率
【表 6-1】因已實現正報酬與因未實現正報酬而開倉之報酬率 t 檢定
因已實現正報酬開倉報酬率 因未實現正報酬開倉報酬率
樣本數 546463 546463
平均數 -0.0243% -0.0053%
變異數 0.000122 0.000187
t 統計量 -7.9748
p-value 0.0000
從表 6-1 可以知道平均而言因為已實現正報酬所開的倉其未來報酬率為 -0.0243%，低於因未實現正報酬所開的倉之未來報酬率-0.0053%，無論從 t 檢 定或 p-value 值均可看出檢定結果在 99%信心水準下拒絕𝐻0，代表說因為過去
有已實現正報酬，而在三天內開新倉的這些交易，比起因過去有未實現正報酬 而在三天內下單的交易，更不利於投資人，因此本研究利用已實現正報酬而開 倉的行為作為過度自信的代理變數應該是合理的考量，而此結果也與過往文獻 尋找過度自信投資人的方法一致。