過度自信與股市交易行為關聯性之實證研究－－以國內證券商為例

Overconfidence and Trading Behavior in Stock Market-An Empirical Study on Securities Firms in Taiwan

本文以自信衡量指標─Brier分數，衡量證券商對股價指數的預測是否過度自信，並觀察過度自信與短期交易量的關係。從指數漲、跌與盤整三種走勢觀察，發現；樣本券商對指數的預測過度自信，其程度呈週期起伏，以指數波段中段的程度最高，故此期間指數最難預測；券商雖過度自信，但其自營部未必增加交易量：對看漲過度自信時反而少買，看跌時卻多買少賣，預期盤整時則傾向出售。這些交易方向與預期不符，故文獻中「過度自信時交易量會增加」的說法失之簡化，應分成漲、跌與盤整三種預測來觀察。此結果可能是因券商具專業和資訊優勢，使其可較快調整交易，故投資人如欲參考券商的資訊，當發現走勢與其預測不符，即宜調整交易策略，以免與自營商對作，增加投資風險。

This paper investigates the forecasts made by securities firms for stock index in rising, falling, and oscillating situations separately and integrally to directly measure overconfidence with the Brier score, which is widely utilized in psychology but first employed in behavioral finance. The purposes of this paper are to examine: 1) Whether securities firms are overconfident and, if so, the characteristics of overconfidence; 2) the relationship between overconfidence and the short-term trading volumes of their dealer departments. Our findings are as follows : 1) Overall, the sample firms are overconfident in forecasting index short-term trends; 2) overconfidence shows a cyclically undulating phenomenon while the medium sessions of rising and falling periods exhibit the highest overconfidence for firms and are, therefore, the most difficult ones to predict; 3)overconfident firms do not raise their trading volumes; instead, they buy less while forecasting a rising index, buy more while anticipating a declining index, and sell more while predicting oscillation. These results are inconsistent with our expectations. The notion of previous research that trading volumes would increase when investors are overconfident may be simplified. We suppose that rapid modulation in trading strategies had been adopted, which results from specialization and more information that securities firms possess. Therefore, the best strategy for investors that want to use securities firms’ prediction information would be to adjust investing strategies as price drifts are inconsistent with those predictions. This may help to avoid opposite trading to dealers and to decrease risks.