IDEAS home Printed from https://ideas.repec.org/a/taf/applec/45y2013i10p1331-1342.html
   My bibliography  Save this article

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

Author

Listed:
  • Jen-Sin Lee
  • Pi-Hsia Yen
  • Kam C. Chan

Abstract

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.

Suggested Citation

  • Jen-Sin Lee & Pi-Hsia Yen & Kam C. Chan, 2013. "Market states and disposition effect: evidence from Taiwan mutual fund investors," Applied Economics, Taylor & Francis Journals, vol. 45(10), pages 1331-1342, April.
    • Handle: RePEc:taf:applec:45:y:2013:i:10:p:1331-1342
    DOI: 10.1080/00036846.2011.617696
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2011.617696
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2011.617696?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dachen Sheng & Heather A. Montgomery, 2024. "Does Herding and Anti-Herding Reflect Portfolio Managers’ Abilities in Emerging Markets?," Mathematics, MDPI, vol. 12(8), pages 1-28, April.
    2. Gutiérrez-Nieto, Begoña & Ortiz, Cristina & Vicente, Luis, 2023. "A bibliometric analysis of the disposition effect: Origins and future research avenues," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    3. Guillermo Badía & Luis Ferruz & Maria Céu Cortez, 2021. "The performance of social responsible investing from retail investors' perspective: international evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6074-6088, October.
    4. Bouteska, Ahmed & Kabir Hassan, M. & Gider, Zeynullah & Bataineh, Hassan, 2024. "The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    5. Eugene Burgos Mutuc & Jen-Sin Lee & Fu-Sheng Tsai, 2019. "Doing Good with Creative Accounting? Linking Corporate Social Responsibility to Earnings Management in Market Economy, Country and Business Sector Contexts," Sustainability, MDPI, vol. 11(17), pages 1-20, August.
    6. Juan Carlos Matallín‐Sáez & Amparo Soler‐Domínguez & Salvador Navarro‐Montoliu & Diego Víctor de Mingo‐López, 2022. "Investor behavior and the demand for conventional and socially responsible mutual funds," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(1), pages 46-59, January.
    7. Leite, Paulo & Cortez, Maria Céu, 2015. "Performance of European socially responsible funds during market crises: Evidence from France," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 132-141.
    8. Zhang, Xiaotao & Wang, Ziqiao & Hao, Jing & Liu, Jiubiao, 2022. "Stock market entry timing and retail investors' disposition effect," International Review of Financial Analysis, Elsevier, vol. 82(C).
    9. Andreu, Laura & Ortiz, Cristina & Sarto, José Luis, 2020. "Disposition effect in fund managers. Fund and stock-specific factors and the upshot for investors," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 253-268.
    10. Zain UI Abideen & Zeeshan Ahmed & Huan Qiu & Yiwei Zhao, 2023. "Do Behavioral Biases Affect Investors’ Investment Decision Making? Evidence from the Pakistani Equity Market," Risks, MDPI, vol. 11(6), pages 1-32, June.
    11. Guillermo Badía & Fernando Gómez‐Bezares & Luis Ferruz, 2022. "Are investments in material corporate social responsibility issues a key driver of financial performance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3987-4011, September.
    12. Tianyang Wang & Robert G. Schwebach & Sriram V. Villupuram, 2022. "Reference point formation: Does the market whisper in the background?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 384-421, June.
    13. Beatrice Boumda & Darren Duxbury & Cristina Ortiz & Luis Vicente, 2021. "Do Socially Responsible Investment Funds Sell Losses and Ride Gains? The Disposition Effect in SRI Funds," Sustainability, MDPI, vol. 13(15), pages 1-14, July.
    14. Riya Arora & Madhumathi Rajendran, 2023. "Moored Minds: An Experimental Insight into the Impact of the Anchoring and Disposition Effect on Portfolio Performance," JRFM, MDPI, vol. 16(8), pages 1-22, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:45:y:2013:i:10:p:1331-1342. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.