摘要
处置效应是一种典型的投资者认知偏差,表现为"售盈持亏"的投资倾向。从具有处置效应的交易者和流动性交易者对股票不同的需求函数出发,建立了基于处置效应的股价波动模型。对该模型的仿真发现处置效应交易者非线性的需求函数更符合实际;同时处置效应使得股价的波动性降低,增加了市场的稳定性,利用投资者交易的账户数据进行实证。
Disposition Effect is a typical Cognitive Dissonance, which means the tendency to sell winning investments too soon and hold losing investments too long. Starts from the different demand function of liquidity investors and disposition investors and then establishes a model of stock price fluctuation based on disposition effect. Simulations indicate that non-linear demand function accords with the actual conditions; disposition effect reduces fluctuation of stock price and stabilizes the market. For the latter conclusion, an empirical research is conducted with trading records at a brokerage house.
出处
《安徽工业大学学报（自然科学版）》
CAS
2006年第3期341-345,共5页
Journal of Anhui University of Technology（Natural Science）
关键词
处置效应
投资者行为
波动
仿真
disposition effect
investor behavior
fluctuation
simulation
