The Relationship between Prior Loss/Profit and Later Loss Aversion Measured by Degree of Disposition Effect

Abstract

On this study we aim to discover The Relationship between Prior Loss/Profit and Later Loss Aversion Measured by Degree of Disposition Effect We collect the index futures (TX) records from TAIFEX (Taiwan future exchange) in the year 2006 and use the index point of TX (NTD200 each point) as the measurement of profit/Loss We defined the prior and later period by three type of cutting point First we use time 11:15 a m as cutting point to separate the data into morning and afternoon data Second we use the maximum realized losses (MRL) and the median maximum realized losses (M-MRL) as the cutting point to separate the prior and later period We also separate the data into different gender and age Based on M-MRL result shows that male and elder traders keep more unrealized losses than female and young traders when facing increasing losses which means male and elder traders are relatively risk taking than female and young traders under losing circumstance

Date of Award	2015 Jul 8
Original language	English
Supervisor	Hung-chih Li (Supervisor)