论文部分内容阅读
通过引入修正的GARCH模型来研究我国股票市场不同市值规模股票投资者的投资行为,来验证我国股票市场的展望理论。结论表明:股票市值规模越小,其投资者行为越符合展望理论的描述;股票损益信息的冲击能够增强股票成交量波动率的持续性,并且正向冲击引起股票成交量波动率变化与股票市值规模大小成正比。
By introducing a modified GARCH model to study the investment behavior of stock investors with different market capitalization scales in China’s stock market, we can verify the theory of China’s stock market. The conclusion shows that the smaller the stock market value, the more its investor behavior is consistent with the description of the prospect theory. The impact of the stock profit and loss information can enhance the continuity of the volatility of the stock volume, and the positive impact causes the fluctuation of stock volume and stock market value Scale is proportional to size.