Skip to main content

Market states and disposition effect: evidence from Taiwan mutual fund investors

Buy Article:

$53.17 plus tax (Refund Policy)


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.

Keywords: G10; G15; behavioural finance; disposition effect; market states; mutual funds

Document Type: Research Article


Affiliations: 1: Department of Finance,I-Shou University, No.1, Sec. 1, Syuecheng Rd., Dashu DistrictKaohsiung City, 84001, Taiwan 2: Department of Finance,Vanung University, No. 1, Van-Nung Rd., Chung-LiTao-Yuan, 32061, Taiwan 3: Department of Finance,Western Kentucky University, 1 Big Red WayBowling Green,KY 42101, USA

Publication date: April 1, 2013

More about this publication?

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more