Market states and disposition effect: evidence from Taiwan mutual fund investors
We study the disposition effect across market states in the context of mutual fund investors in Taiwan. Using mutual fund data at the fund and individual levels during July 2001 to October 2008, we find that the disposition effect varies across market states. Our results suggest that
investors redeem their mutual fund units more under a bear market than a bull market when they have extreme capital losses. When investors have moderate capital gains, they are less active in redeeming their mutual fund units under a bull market relative to a bear market. Under a neutral market,
investors actively redeem mutual fund units in both winner and loser mutual funds except when they have extreme capital losses. Thus, disposition effect is not uniform; it varies by market condition. In addition, the disposition effect phenomenon also exists for Taiwan mutual fund investors
as well. Our findings are robust to aggregate and individual investor levels.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
Document Type: Research Article
Department of Finance,I-Shou University, No.1, Sec. 1, Syuecheng Rd., Dashu DistrictKaohsiung City, 84001, Taiwan
Department of Finance,Vanung University, No. 1, Van-Nung Rd., Chung-LiTao-Yuan, 32061, Taiwan
Department of Finance,Western Kentucky University, 1 Big Red WayBowling Green,KY 42101, USA
Publication date: 2013-04-01
More about this publication?