The Study Of Existence Test And Influence About Disposition Effect On Fund Investment In China

The modern financial theory is built on two cornerstones that the Capital AssetPricing Model and the Efficient Market Hypothesis. These classic theories inheritanceeconomics analysis methods and techniques which are built on the rational analysisframework with ignored the study of the actual behavior decision-marking by theinvestors. With the accumulation of various on the financial markets, behavioralfinance emerged. Prospect Theory is made the human psychology and the behaviorinto the financial framework, and it provides theories and empirical basis. The“disposition effect” belongs to one of the basic theory of behavioral finance thatexplains the stock market vision which based on prospect theory.In this paper, we try to verify that does the “disposition effect” exists in China’sfund market based on reading the relevant literature through the collection of80open-stock investment funds quarterly data in the nearly five years. We build the VARmodel by selecting fund net redemption rate, the yield of the Fund, the market rate ofreturn, the fund’s market share and other related indicators as variables, and chose theweighted approach because of large number of the sample data and that each variableactually is a panel data when handling the model. Finally, we verify the “dispositioneffect” under the premise of the existence of the fund market in China.With the premise of the existence of the “disposition effect” in the fund market inChina empirically, we specifically analyze the dynamic changes of the “dispositioneffect” in the strength in the consecutive quarters by the linear strength combined withthe market performance. It draws the conclusions that the “disposition effect” isconducive to market stability preliminary, and explains the adage of “do not only riseand not fall in the market” reasonably. In addition, the degree of the “dispositioneffect” in the up and down cycle in the market is different, and it has a certain valueand the reference value in forecast securities market inflection point.