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

GU Zhi-ting, ZHANG Xing-fa

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Journal of Guangzhou University(Natural Science Edition) ›› 2018, Vol. 17 ›› Issue (1) : 29-35.

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

  • GU Zhi-tinga, ZHANG Xing-fab
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Abstract

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.

Key words

functional coefficient GARCH-M model / risk aversion / gambler fallacy / gambler psychology

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GU Zhi-ting, ZHANG Xing-fa. Research on the investment psychology difference of Chinese stock market in different trades. Journal of Guangzhou University(Natural Science Edition). 2018, 17(1): 29-35

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