Investor Sentiment, Gambling Attitudes, and Trading Profits: Evidence from Taiwan Stock Index Options

投資人情緒、賭博偏好與交易利得之關係──臺灣選擇權之實證研究

This study investigates the relationship between investor sentiment and gambling preference regarding Taiwanese index options between 2002 and 2007. The empirical results show that investor sentiment is positively correlated to gambling preference, which is more apparent for retail investors. Moreover, retail investors have stronger gambling preferences during recession periods. Finally, we find that after obtaining positive profits, retail investors exhibit stronger gambling preferences, which is supported by house money effect. However, for foreign institutional investors and market makers, the impact of previous profits on gambling preference is not significant.

本論文探討2002年至2007年期間，臺灣選擇權市場中投資人情緒與賭博偏好之關係。實證結果顯示，相較於機構投資人與造市者，當臺灣散戶投資人具有樂觀情緒時，更容易表現強烈的賭博偏好。並且，在經濟蕭條時期，散戶投資人的賭博傾向更顯著。最後，我們發現在前期交易獲得利得時，散戶投資人在當期的投資選擇中顯示更強烈的賭博偏好，此現象符合私房錢效應的結果。然而，前期的交易利得損失對於外資與造市者的賭博偏好較不具有顯著影響力。