市场层面上的赌资效应研究

赌资效应(House Money Effect)是指前期收益会使投资者变得更加风险寻求。与以往基于心理学实验或投资者个人交易账户数据所进行的实证研究不同,本文以股票市场整体行为为研究对象,采用世界上具有代表性的十四支股票综合指数为样本,构建TVRA-GARCH-M模型来研究在市场层面上前期损益对当期风险态度的影响。实证研究发现,在股票市场整体行为上,前期收益会降低当期的风险规避程度;同时,前期损失会提高当期的风险规避程度。

Research on House Money Effect at the Market Level

The house money effect describes the psychological tendency of investors to become increasingly risk-seeking follwing prior gains. While previous empirical studies of house money effect are largely carried out through psychological experiments or individual investors trading account data, in this paper, by taking the behavior of the whole stock market as an entire entity, the daily return data from stock market of 14 representative countries or regions are used, and the TVRA-GARCH-M model is constructed to make an empirical research on the influence of prior outcomes to current risk attitude at the market level. Empirical results show that prior gains lead to less risk aversion in the current period, and prior losses increase the current risk aversion.