摘要
本文从行为金融角度出发,在价值函数理论的基础上构建了信息流对收益率及其波动影响的模型.并以中国股票市场中的上证指数和深证成指为样本对模型进行实证研究.结果表明:价值函数形式能较好的解释信息流对收益率的影响;信息流、价值函数所能刻画的投资者行为偏差对收益率波动和波动持续性都有一定的解释能力;投资者的损失厌恶行为可以对"利好与利空信息流对收益率及其波动影响的非对称性"现象进行合理的解释;同时,实证显示在中国股票市场上价值函数的图形呈现出反"S"型.
This paper constructed, based on the value function theory, a econometric model which can explain the impact of information flow on stock market return and return volatility. Then we applied the Shangzheng Index and Shenzheng Index to our empirical analysis. The empirical results show that the value function form can explain well the impact of information flow on return. Information flow and the investor＇ s behavior bias, which is described by value function, can explain the return volatility and its persistence feature in the Chinese stock market. Furthermore, investors＇ loss aversion behavior can give a good explanation to the asymmetric impacts of good information and bad information on the stock market return and its volatility. Meanwhile, the empirical research reveals that the graph of the value function displays a reverse S-shaped in Chinese stock market.
出处
《管理科学学报》
CSSCI
北大核心
2013年第11期69-80,共12页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(70971013
71171024
71371195)
