关于上证A股指数处置效应的实证分析  

Empirical Analysis on Disposal Effect of Shanghai Stock Index

作　　者：翟泓森 任达[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《重庆理工大学学报（自然科学）》2016年第7期149-156,共8页Journal of Chongqing University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71320107003)

摘　　要：以行为金融理论为基础,首先运用2010年1月—2014年10月上证A股的成交量和涨跌幅的数据建立模型,证明了处置效应在中国具有普遍性,即使是在较为平稳的市场中排除了暴涨暴跌以及政策的利好和利空,该效应也同样明显。构建了一套投资组合并得出结论:处置效应明显的投资者在交易的过程中更容易受到收益波动的影响,进而他们的投资组合表现相对较差。Based on behavioral finance theory, firstly we used the Shanghai Stock Index from January 2010 to October 2014 on the trading volume and prices of data to build a model which proved that the disposal effect is common in China, even in the relatively stable markets, excluding the rocketing and plumping or policies, the effect is also evident. In order to build a portfolio and make a conclusion, the disposition effect investors in trading are more vulnerable to be impact of earnings volatility, thus their portfolio performance is relatively poor.

关 键 词：处置效应 收益波动 投资者行为 

分 类 号：O21[理学—概率论与数理统计]