在傳統的財務學中，總是以投資人為理性的角度來探討公司策略以及投資行為，其中以效率市場假說(Efficient Market Hypothesis, EMH)最為著名，效率市場價說認為股價會充分反映所有的相關資訊，投資人無法利用技術分析或分析資訊從短期股價偏離中獲利，但是到80年代後，由於一些市場異常現象(Anomalies)陸續被發現，例如元月效應、週末效應等等，傳統財務學認定投資人為理性的架設開始受到質疑並且被進行檢驗，Kahneman and Tverskey (1979)提出展望理論(Prospect Theory) 來解釋當投資人面臨不確定性時如何決定投資行為，Shefrin and Statman (1985) 更根據展望理論去進行實證研究，提出了處分效果(Disposition Effect)，也就是相對於損失的部位，投資人會傾向於太早實現獲利的股票，持有太久損失的部位，造成處分效果是由於投資人對於獲利跟損失的風險態度不同，對於獲利呈現風險趨避；損失則是風險愛好，處份效果可以用來解釋傳統財務學無法解釋的現象，例如價量齊揚、價跌量縮以及技術分析中的價量關係策略。此外，買低賣高為投資人心中最期待發生的現象，但是投資人的行為卻又呈現處分效果，所以處分效果的存在與否相當重要。
台灣期貨交易所自1998年推出第一檔期貨商品後，台灣期貨交易所之期貨商品總成交量已竄升至世界第18名，年成交量超過一億口，台灣期貨市場的重要性已經不可同日而語 ，目前台灣對證券市場投資行為已有不少的研究，然而對於期貨市場的研究著墨不多，這也是我們主要考慮的地方。再者期貨的投資人大部分都被認為是比較具專業性或風險承擔能力較高的一群，是否仍然會呈現出不理性的處分效應。在此研究中，我們將樣本鎖定交易量占台灣期貨市場中前三名的交易群體約占( 97% )，分別是期貨自營商、外國專業投資機構以及自然人，其中自然人的交易量最多( 約占80% )。期貨契約則是選擇台股期貨、電子期貨以及金融期貨，希望藉由交易者以及期貨契約之間的交互關係，可以檢驗處分效果是否會受到交易群體以及期貨契約的影響。

Past researches have found that investors revealed disposition effect both in stock market and futures market. In U.S stock market, Odean (1998) examined the investors account obtained from discount brokerage house, Garvey and Murphy (2004) test the professional proprietary traders and Shu, Yeh et al. (2005) analyzed the individual investors in Taiwan. In futures maket, Frino, Johnstone and Zheng (2004) examined the local trader and the matched non-local traders. In this research we divided the traders in Taiwan into three classes which are futures proprietary traders (FPT), foreign institutional investors (FII) and individual traders (IT) according to their personal identity. In addition to testing disposition effect of the Taiwan futures market, we also examine whether the level of disposition effect change as traders class changes. Another issue in this research is to examine whether the disposition effect have any influence on the trading performance. Disposition effect is considered as an irrational behavior so the performance of traders with disposition effect would be lower than traders without disposition effect.
In this research, we do not find the evidence to support that disposition effect exist in the futures proprietary traders. Some futures proprietary traders and matched non-proprietary traders reveal the inclination of disposition effect but they are not significant for the whole group. On the contrary, individual traders and foreign institutional investors reveal disposition effect in most future contracts.

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