Research ArticleOpen AccessGoogle Scholar indexed
A Summary of Theoretical and Empirical Test on the Disposition Effect of Securities Investment Fund in China
Department of Finance, School of Economics, Jinan University, Guangzhou, China
- 1 Department of Finance, School of Economics, Jinan University, Guangzhou, China
Copy link · social · email
Abstract
The disposition effect is an irrational behavior of investors, that is, investors tend to sell winners too early and hold losers too long. There are many researches on the disposition effect of stock market, but few researches about the fund market. Therefore, we sort out the relevant literature examining the existence of the disposition effect of securities investment fund in China. Then, we use data of 306 open-end funds in China from 2010 to 2018 to examine the existence of the disposition effect of securities investment fund in China by establishing VAR model. The empirical results show that: there is no disposition effect on securities investment fund in China.
KeywordsDisposition EffectSecurities Investment FundOpen-End FundsVAR Model
- Chen, L., & Yang, G. Y. (2010). Study on Disposition Effect of Securities Investment Fund in China. Technology Economy, 29, 110-114.
- Dong, P. (2012). A Study on the Relationship between Open-End Fund Performance and Investor Behavior in China. Nanjing: Nanjing University.
- Du, W. W. (2011). An Empirical Research on Disposition Effect of Institutional Investors in China. Hangzhou: Zhejiang University. https://doi.org/10.1109/ICEBEG.2011.5881731
- Feng, J. Y. (2009). Investors’ Disposition Effect on Open-End Fund: The Threshold Regression Analysis Based on China’s Panel Data. Statistics & Information Forum, 24, 57-62 + 86.
- Ferris, S. P., Haugen, R. A., & Makhija, A. K. (1988). Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect. The Journal of Finance, 43, 677-697. https://doi.org/10.1111/j.1540-6261.1988.tb04599.x
- Frazzini, A. (2006). The Disposition Effect and Underreaction to News. The Journal of Finance, 61, 2017-2046. https://doi.org/10.1111/j.1540-6261.2006.00896.x
- Hens, T., & Vlcek, M. (2011). Does Prospect Theory Explain the Disposition Effect? Journal of Behavioral Finance, 12, 141-157. https://doi.org/10.1080/15427560.2011.601976
- Li, X. F., He, L. Z., & Shen, N. (2010). Comparison of “Disposition Effect” between China’s Open-End Securities Investment Fund and QFII: An Empirical Study from the Perspective of Statistics of “Buying and Selling Cycle Time”. Securities Market Herald, No. 9, 71-77.
- Liu, X., & Zhang, Y. F. (2019). Research on Disposition Effect and Its Influence Factors of Securities Investment Fund in China Based on Survival Analysis Cox Model. Journal of Chongqing University of Technology (Social Science), 33, 50-59.
- Odean, T. (1998). Are Investors Reluctant to Realize Their Losses? The Journal of Finance, 53, 1775-1798. https://doi.org/10.1111/0022-1082.00072
- Shefrin, H., & Statman, M. (1985). The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. The Journal of Finance, 40, 777-790. https://doi.org/10.1111/j.1540-6261.1985.tb05002.x
- Wang, J. (2007). An Empirical Study on the Influence of Open-End Fund Investment Style Deviation on Its Investor Disposition Effect. World Economic Outlook, No. 11, 74-78.
- Wang, M. J. (2005). The Disposition Effect of the Institutional Investors: The Duration Model Based on Transaction Data. Journal of Sun Yat-Sen University, 45, 122-128.