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本文采用中国个人投资者的交易数据,研究不同的市场环境对投资者处置效应参考点调整速度的影响。研究表明,在牛市中投资者盈亏参考点的调整速度加快,处置效应减弱,会更多地卖出亏损股票;而在熊市中,投资者盈亏参考点的调整速度减慢,处置效应增强,会更多地持有亏损股票。此外,对投资者特征进行研究发现,较有经验的投资者和交易较频繁的投资者参考点调整速度更快,非理性行为偏差更小。
This paper uses the transaction data of individual investors in China to study the impact of different market conditions on the adjustment speed of the reference point of investors’ disposal effect. The research shows that in the bull market, the adjustment point of the profit and loss reference points of investors is accelerated and the disposal effect is weakened, and more losses will be sold. In the bear market, the adjustment of the profit and loss reference points of investors slows down and the disposal effect will increase More holdings of lossy stocks. In addition, the study of investor characteristics found that more experienced investors and investors who trade more frequently adjusted the reference point faster and the deviation of irrational behavior was smaller.