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过度自信与后悔厌恶是投资者普遍存在的两种心理偏差。通过过度自信与后悔厌恶对证券市场收益率分布的影响的定性分析可知:这两种心理偏差会造成证券市场收益率分布左偏,而且与正态分布相比较存在尖峰厚尾现象。本文利用GARCH、TGARCH、EGARCH等模型对上证综指在2007年初美国发生次贷危机后前、中、后三个阶段日收益率波动性进行研究,分析不同时期投资者行为对上证综指收益率波动性的影响。
Overconfidence and regret aversion are two psychological deviations common to investors. The qualitative analysis of the effects of overconfidence and regret aversion on the distribution of returns on the stock market shows that these two kinds of psychological deviations will cause the stock market to have a left-handed rate of return distribution, and there is a sharp and thick tail compared with the normal distribution. This paper uses the GARCH, TGARCH, EGARCH and other models to study the volatility of the daily returns of the Shanghai Composite Index in the first, middle and last stages after the subprime mortgage crisis in the United States in early 2007, and analyzes the volatility of the returns of the investors in different periods on the Shanghai Composite Index The impact of volatility.