1980年來，金融市場產生越來越多的異常現象，以「理性人假設」和「有效市場理論」為基石的現代財務理論與幾乎以對立假設「有限理性」和「展望理論」為基礎的行為財務學理論在學術上的爭論一直沒有停止。適應性市場假說（Adaptive Market Hypothesis）借鑒進化論的思想，將有效市場理論、行為財務理論、心理經濟學結合起來，打破了有效市場假說與行為財務理論的爭執，它認為有效只是一種完美的均衡狀態，在大多數的時間市場並不是處於完全有效的狀態，而是處在從無效趨向有效的動態交替過程中。但是目前有關適應性市場假說的文獻主要是理論分析和關於市場效率性的週期性檢驗的實證分析，還沒有量化投資人行為的實證文獻，本文利用台灣股票市場數據，從個人投資者的處置效應和羊群效應角度證明了投資者的確具有適應性，他們的行為會隨著投資經驗的增加而改變，但是對不同的行為會有不同的適應性，當風險處於一個較低的水準時（約小於40%），投資者的處置行為會隨著投資者經驗的增加而越來越嚴重；當風險水準處於相對較高水平時（高於40%），投資者的處置行為會隨著投資者經驗的增加而減弱。依據股票價格的均值迴歸性（mean-reverting）理論，本文認為投資者對處置行為的這種適應性是一種理性適應性。同時，本文通過Bernhard， Campello and Kutsoati（2006）發展的S統計量檢驗了投資者的herding行為，並使用兩種方法將herding行為區分為理性herding行為與非理性herding行為，發現不管是否金融海嘯期間，投資者的理性herding行為會隨著投資經驗的增加而減少，而非理性herding行為會隨著投資經驗的增加而增加，本文認為投資者對羊群行為的這種適應性是一種非理性適應，有可能是因為隨著投資經驗的增加而盲目自信所導致。

Since 1980s, there are more abnormal phenomena appears in financial markets. The debate between behavioral finance, which based on the hypothesis of bounded rationality and prospect theory, and modern financial theory, which based on the hypothesis of rational man and efficient market theory has never stopped. Adaptive Markets Hypothesis draw on the idea of evolution, efficient market theory, behavioral finance theory, and psychological economics together, coordinating the contradiction between efficient market hypothesis and behavioral finance theory. According to Adaptive Markets Hypothesis, efficiency is only a perfect equilibrium, the market is not on the fully effective state in most of the time, but in the effective dynamic trends from ineffective alternate process. However, the current literature about AMH is mainly theoretical analysis and market efficiency of the periodic inspection, but did not quantify the behavior of investors. In this paper, individual investors indeed proved adaptable from disposition effect and herding perspective, their behavior will change with increase investment experience, but there will be different for different behavior adaptability. When the risk is at a lower level (approximately less than 40%), the disposal behavior of investor increases as investors experience more serious; when the level of risk at a relatively high level (above 40%), the disposal of investor behavior as investors experience increases. On the basis of mean-reverting theory, we considers the behavior of investors in the disposition of this adaptation is a rational adaptation. Meanwhile, we used the S-statistic created by Bernhard, Campello and Kutsoati (2006) to test investors' herding behavior and divide the herding behavior into rational herding behavior and irrational herding behavior and found that regardless of whether during the financial tsunami investors rational herding behavior increases with the decrease of investment experience, rather than irrational herding behavior with the increase of investment experience. This paper argues that investors' herd behavior adaptation is an irrational adaptation, it may be because the increase of investment experience with blind confidence caused.

誌謝辭 i
摘 要 ii
Abstract iii
目 錄 v
圖 次 vi
表 次 vii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究流程與實證結果簡介 4
第三節 本文貢獻與文章結構 6
第二章 文獻探討 8
第一節 適應性市場假說（Adaptive Markets Hypothesis） 8
第二節 處置效應（Disposition Effect） 10
第三節 羊群行為（Herding Behavior） 13
第三章 台灣股票市場基本介紹及資料說明 15
第一節 台灣股票市場基本情況介紹 15
第二節 資料說明 15
第四章 研究方法 18
第一節 基本假設及投資存貨處理 18
第二節 投資報酬及持有時間計算 19
第三節 處置效應的衡量以及適應性檢驗 20
第四節 羊群效應的衡量以及適應性檢驗 21
第五章 實證結果 24
第一節 敘述統計 24
第二節 處置效應及投資者適應性檢定 27
第三節 羊群效應及投資者適應性檢定 31
第四節 穩健性檢定 35
第六章 結論與建議 41
參考文獻 43

A.Shleifer, LH.Summers, 1990. “The Noise Trader Approach to Finance”, The Journal of Economic Perspectives, Vol.4, No.2.
A.Shleifer, RW.Vishny, 1997. “The Limits of Arbitrage”, Journal of Finance, Volume 52, Issue 1, pages 35–55.
Alexandru Todea, Maria Ulici, Simona Silaghi, 2009. “Adaptive Markets Hypothesis:Evidence from Asia-Pacific Financial Markets”, The Review of Finance and Banking, Volum e 01, Issue 1, Year 2009, Pages 007-013.
Andrew W. Lo, 2004. “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective”, The Journal of Portfolio Management, 30th Anniversary, Vol. 30, No. 5: pp. 15-29.
Andrew W. Lo, 2005. “Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis”, Journal of Investment Consulting, 21–44.
Bikbchandani, Sushil, David Hirshleifer and Ivo Welch, 1992. “A theory of fads, fashion, custom, and cultural change as informational cascades”, Journal of Political Economy, Vol.100, No.5, 992-1026.
Chip Heath, Steven Huddart and Mark Lang, 1999. “Psychological Factors and Stock Option Exercise”, The Quarterly Journal of Economics, 114 (2): 601-627.
Christopher J. Neely, Paul A. Weller and Joshua Ulrich, 2009. “The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market”, Journal of Financial and Quantitative Analysis, Vol. 44, April 2009.
Dan Bernhardta, Murillo Campellob, Edward Kutsoatic, 2006. “Who herds?”, Journal of Financial Economics, Volume 80, Issue 3, June 2006, Pages 657–675.
David Hirshleifer, 2001. “Investor Psychology and Asset Pricing”, The Journal of Finance, Volume 56, Issue 4, pages 1533–1597.
Eric C Chang, Joseph W Cheng, Ajay Khorana, 2000. “An examination of herd behavior in equity markets: An international perspective”, Journal of Banking & Finance, Volume 24, Issue 10, Pages 1651–1679.
George A. Akerlof, 1980. “A Theory of Social Custom, of which Unemployment may be One Consequence”, The Quarterly Journal of Economics, 94 (4): 749-775.
George M. Constantinides, 1983. “Capital Market Equilibrium with Personal Tax”, Econometrica: Journal of the Econometric Society, Vol.51, No.3.
Hersh Shefrin and Meir Statman, 1985. “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence”, The Journal of Finance, Volume 40, Issue 3, pages 777–790.
Hyuk Choe, Yunsung Eom, 2009. “The disposition effect and investment performance in the futures market”, Journal of Futures Markets, Volume 29, Issue 6, pages 496–522.
J. Doyne Farmer and Andrew W. Lo, 1999. “Frontiers of finance: Evolution and efficient markets”, PNAS, vol. 76(2), vol. 96 no. 18.
J.Lakonishok, A.Shleifer, RW.Vishny, 1992. “The Impact of Institutional Trading on Stock Prices”, Journal of Financial Economics, Volume 32, Issue 1, Pages 23–43.
Josef Lakonishok, Seymour Smidt, 1986. “Volume for Winners and Losers: Taxation and Other Motives for Stock Trading”, The Journal of Finance, Volume 41, Issue 4, pages 951–974.
Kent Daniel, Sheridan Titman, 2000. “Market Efficiency in an Irrational World”, NBER Working Paper, No. 7489.
Kaustia, Markku, 2004. “Market-Wide Impact of the Disposition Effect: Evidence from IPO Trading Volume”, Journal of Financial Markets, 7, 207–235.
Locke, Peter R. & Mann, Steven C., 2005. “Professional trader discipline and trade disposition”, Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May.
Mark Grinblatta, Matti Keloharju, 2000. “The investment behavior and performance of various investor types: a study of Finland's unique data set”, Journal of Financial Economics, Volume 55, Issue 1, Pages 43–67.
Mark Grinblatta, Matti Keloharju, 2001. “How Distance, Language, and Culture Influence Stockholdings and Trades”, The Journal of Finance, Volume 56, Issue 3, pages 1053–1073.
Paul B Andreassen, 1988. “Explaining the price-volume relationship: The difference between price changes and changing prices”, Organizational Behavior and Human Decision Processes, Volume 41, Issue 3, Pages 371–389.
Sanford J. Grossman and Joseph E. Stiglitz, 1980. “On the Impossibility of Informationally Efficient Markets”, The American Economic Review, Vol.70, No.3, Jun., 1980, Page 393 of 393-408.
Sushil Bikhchandani and Sunil Sharma, 2000. “Herd Behavior in Financial Markets”, IMF Staff Papers, Vol. 47, No. 3 (2000), pp. 279-310.
Shapira, Z. & Venezia, I. 2001. “Patterns of behavior of professionally managed and independent investors”, Journal of Banking and Finance, 25, 1573-1587.
Terrance Odean, 1998. “Are Investors Reluctant to Realize Their Losses?” The Journal of Finance, Volume 53, Issue 5, pages 1775–1798.
William G. Christie and Roger D. Huang, 1995. “Following the Pied Piper: Do Individual Returns Herd around the Market?” Financial Analysts Journal, Vol. 51, No. 4, pp. 31-37.
李心丹，「行為金融理論: 研究體系及展望」，金融研究，2005年第1期。
趙學軍，王永宏，「中國股市處置效應的實證分析」，金融研究，2001年第7期。