摘要
本篇研究在於檢測「損失趨避」此投資人的行為偏誤是否存在於台股加權指數期貨市場。損失趨避此現象的價值函數，在有損失時下降速度大於有獲利時的上升速度，且損失帶給投資人的傷害大過獲利所帶來的價值。此行為偏誤的函數描述當投資人有損失時，他會更尋求風險。因此，我們可以用前期獲利狀況和之後投資人風險承擔的態度，來測試損失趨避此現象是否存在。我們測試了一般散戶投資人、機構投資人在不同時間區段下的損失趨避狀況。此外，我們加入了市場狀態此一構面，去測試各類投資人損失趨避的狀況在多頭市場與空頭市場的市場狀態下是否有異。
然而，我們的結果並無證據顯示一般散戶投資人與機構投資人有損失趨避行為。我們的結果顯示一般散戶投資人與機構投資人符合預期效用函數，兩類投資人在多頭市場時皆有遞減的風險趨避的現象。

Abstract

This paper examines whether loss aversion exists in TAIXE futures markets. Loss aversion: the value function of a trader is steeper in the negative than in the positive domain; losses loom larger than corresponding gains. Which means a trader will be more sensitive to loss than gains. It describes the phenomenon that an investor will be more risk-seeking when he has losses. In other words, a person who has not made peace with his losses is likely to accept gambles that would be unacceptable to him otherwise. Therefore, we can use prior profits and subsequent risk-taking to test loss aversion. We examine loss aversion of individual and institutional investors under different time horizons. Besides, we add another dimension, market phase, bull and bear, to test whether loss aversion for each investor will be different in bull and bear markets.
However, we do not get evidence that loss aversion exists in the TAIXE futures market. Most of our evidence shows that individual and institutional investors in TAIXE futures market have expected utility function. Both of them are decreasing relative risk aversion (DRRA). They will be less risk aversion in the bull market.

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