Disposition Effect and Contrarian/Momentum Behavior of Stock Traders
Advances in Pacific Basin Business, Economics and Finance
ISBN: 978-1-80382-402-4, eISBN: 978-1-80382-401-7
Publication date: 1 May 2023
Abstract
This research examines stock traders' disposition effects and contrarian/momentum behavior in the Taiwan Stock Exchange (TWSE). Specifically, we first investigate disposition effects across all trader types and then examine the relationships between disposition effects, trader types, and order characteristics. Next, we explore contrarian and/or momentum behavior and analyze the relationships among the contrarian/momentum behavior, investor type, and order characteristics. Finally, the links among trader types, order characteristics, and investment performance are detected. This chapter yields the following findings. (1) Individual investors exhibit the strongest disposition effects compared to other investors. (2) Foreign investors, investment trusts, and individual investors tend to use large orders to sell loser stocks. (3) Investment trusts are inclined to be momentum traders, while individual investors tend to perform contrarian strategies. (4) Institutional aggressive and large orders perform better than individuals' orders. (5) The performance of foreign investors' selling decisions is better than that of retail investors.
Keywords
Acknowledgements
Acknowledgments
The authors would like to acknowledge the Ministry of Science and Technology, Taiwan, R.O.C., for financial support under grant MOST 110-2410-H-260 -008 -MY2. Any deficiencies, flaws, or errors remain ours alone.
Citation
Liu, H.-H., Hung, P.-H. and Huang, T.-H. (2023), "Disposition Effect and Contrarian/Momentum Behavior of Stock Traders", Lee, C.-F. and Yu, M.-T. (Ed.) Advances in Pacific Basin Business, Economics and Finance (Advances in Pacific Basin Business, Economics and Finance, Vol. 11), Emerald Publishing Limited, Leeds, pp. 41-67. https://doi.org/10.1108/S2514-465020230000011003
Publisher
:Emerald Publishing Limited
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