The Disposition Effect：The Case of China Stock Exchange

• Main Author: 方立本
• Other Authors: 楊浩彥
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/89671082158059730833

碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 96 === Behavior finance that rise in recent years break through traditional financial prerequisite which supposes investors are rational, risk-avoided and utility-maximized. The subject brings psychology into analysis of investor behavior, which is close to realistic limited rational investors, and offers a brand-new prospect for analyzing investor's decision behavior. The segmentation of stock A market and stock B market in China is unique in the world and there is no other example. It should be attributed to the system design factor. Besides, we doubt whether the phenomenon that behavioral finance has researched also existed in Chinese stock A market and stock B market, such as the disposition effect. This article aims at the empirical analysis of the disposition effect foe stock A market and stock B market in Shanghai and Shenzun. And it use the special regression model which Ferris et al. mentioned in 1988 to analyze the disposition effect. By employing the sample of 80 Shanghai Stock Exchange listed firms and 80 Shenzun Stock Exchange listed firms which include 40 A shares and 40 B shares respectly during the period of January 4, 2006 to December 28, 2007, this article mainly find that： (1)We can observe the disposition effect on the investor of stock A market through the specific tracing Model, especially at the profit side than the loss side. (2)We can’t observe the disposition effect on the investor of stock B market through the specific tracing Model. (3)Using the Model of different spread and holding period doesn’t have obvious and identical variation on disposition effect for stock A market.