市场层面上的赌资效应研究

Abstract

Abstract: 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.

Key words: house money effect, risk attitude, TVRA-GARCH-M

CLC Number:

F224

WEN Feng-hua, CHAO You-cong, LIU Zhi-feng, YANG Xiao-guang. Research on House Money Effect at the Market Level[J]. Chinese Journal of Management Science, 2012, (4): 45-51.

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Research on House Money Effect at the Market Level

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