基于行为金融的中国股市波动非对称性研究

股票市场波动特征的研究,对于利用金融衍生品管理投资风险具有重要意义.行为金融的发展为研究股票市场的波动性提供了新视角和新方法.投资者是否理性是传统金融理论与行为金融理论的重要区别.从投资者非理性角度分析,过度自信、羊群行为和处置效应是中国股票市场非对称性波动的主要原因.通过引入行为金融前景理论中的价值函数,修正EGARCH模型,并以上证A股指数为样本进行了实证检验.结果表明,中国股票市场的波动非对称性显著存在,同等程度的利好信息的影响更大.

Research on asymmetric volatility in stock-market based on behavioral finance

The research on volatility characteristics of stock market is significant for using financial derivates to manage risks of investment.The development of behavioral finance provides a new angle of view and a new method to study volatility of stock market.Whether the investors are rational is the main difference between traditional theory and behavioral finance.Based on the analyses of investor's non-rational behavior,it is shown that overconfidence,herd behavior and disposition effect are the main reasons to...