選擇權投資人心理帳戶與投資特性──以臺灣為例

Investor Type, Options, and Mental Accounting: Evidence from the Taiwan Index Options Trading

本研究與以往相關文獻的區別在於驗證了人們如何分類、評價及參與臺灣的選擇權交易，以及投資者在何種情況下選擇整合或分離他們的投資利潤和虧損。過往研究僅聚焦於現貨市場投資人快樂編輯之行為，而本文的貢獻在於發現一個更複雜的選擇權市場中，投資者遵守心理帳戶的編輯規則來整理他們的投資結果。我們藉由實證得到投資者分離利得與整合損失的證據，支持投資人遵守心理帳戶快樂編輯原則，為現有文獻作出貢獻。我們進一步證實了這種現象存在於不同類型的投資者，機構投資人的正常帳戶與機構投資人的避險帳戶皆呈現快樂編輯現象。而交易複雜程度較低的投資人比起複雜程度較高的投資人，其分離利得與整合損失的現象更為顯著。此外，當投資者處理他們混合利潤的結果時，他們會遵守另一個快樂編輯原則，即投資者傾向分離混合損失，而整合混合利得。

The present study distinguishes itself from previous work by demonstrating how people perceive, categorize, evaluate, and engage in options trading positions in Taiwan and under what circumstances investors choose to integrate or segregate their mixed investment profits and losses. We find that in a more complex options market investors also obey the hedonic editing rule in editing their investment outcomes. We contribute to the literature by documenting that investors are more susceptible to segregate gains and integrate losses, which supports the hedonic editing rule. We also confirm this phenomenon exists significantly in both normal account investors and hedge account institutional investors; and is stronger for less sophisticated investors. Further, when investors handle mixed outcomes, they obey another hedonic editing rule, that investors tend to segregate mixed losses and integrate mixed gains.