基于不同行业的中国股市投资心理差异性研究  

Research on the investment psychology difference of Chinese stock market in different trades

作　　者：古志婷 张兴发 GU Zhi-ting;ZHANG Xing-fa(School of Mathematics and Information Sciences,Guangzhou University,Guangzhou 510006,China;School of Economics and Statistics,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]广州大学数学与信息科学学院,广东广州510006 [2]广州大学经济与统计学院,广东广州510006

出　　处：《广州大学学报（自然科学版）》2018年第1期29-35,共7页Journal of Guangzhou University:Natural Science Edition

基　　金：国家自然科学基金资助项目(11401123)

摘　　要：从投资者时变的风险厌恶角度出发,运用一类函数系数GARCH-M模型分析不同行业股所表现的投资心理变化.实证结果验证了股票的前期收益对时变的风险厌恶态度是表现为非线性影响的,表明了收益情况是影响着投资者心理状况的.从实证结果可以发现,不同行业股的风险厌恶系数图有递增型、U型、波浪型和平稳型.当前期收益为负值或较小时,投资者表现出明显的赌徒心理,当前期收益不断增大时,投资者存在显著的赌徒谬误心理.Based on the time-varying risk aversion of investors,this paper uses GARCH-M model to analyze the psychological changes of investment in different industries.The empirical results show that the early stock earnings have a non-linear effect on the risk-aversion attitude,which indicates that the income situation affects the psychological state of investors.From the empirical results,it can be found the risk aversion coefficient chart has“increasing”,‘‘U-shape”,“wave shape”and‘‘smooth shape”?When the income is negative or smaller,the investor shows obvious gambler mentality.Likewise,investors have significant gambler fallacies when the income in the current period is increasing.

关 键 词：函数系数GARCH-M模型 风险厌恶 赌徒谬误 赌徒心理 

分 类 号：O212.7[理学—概率论与数理统计]