Paper Title:
An Empirical Study on Value Functions of Stock Markets
  Abstract

As a core component of the prospect theory, a value function is employed to characterize the subjective experience of a decision-maker’s gain or loss. Previous empirical studies of the prospect theory were largely carried out through psychological experiments on individual decision-makers. In this paper, taking the whole stock market as an entity, we use the flow of information extracted by EGARCH Model as the proxy variable of change in wealth, and then use a two-stage power function as the representation of the value function to study the daily return data from the stock markets of 10 countries or regions. Empirical results show that the value functions of all the 10 stock markets present the shape of inverse-S, instead of the S-Shape of the value function generated by most psychological experiments on individuals.

  Info
Periodical
Advanced Materials Research (Volumes 204-210)
Edited by
Helen Zhang, Gang Shen and David Jin
Pages
899-906
DOI
10.4028/www.scientific.net/AMR.204-210.899
Citation
F. H. Wen, G. T. Rao, X. G. Yang, "An Empirical Study on Value Functions of Stock Markets", Advanced Materials Research, Vols. 204-210, pp. 899-906, 2011
Online since
February 2011
Export
Price
$32.00
Share

In order to see related information, you need to Login.

In order to see related information, you need to Login.

Authors: Bin Ren, Liang Lun Cheng
Abstract:Polynomial smooth techniques are applied to Support Vector Regression model by an accurate smooth approximation which is offered by Hermite...
2215
Authors: Qun Cao, Bing Xiang Liu, Xiang Chen
Chapter 1: Development and Utilization of Solar Energy
Abstract:According to the nonlinearity and uncertainty of the water quality data samples, a forecasting model based on Simulated Annealing Genetic...
781
Authors: Yan Chu, Hai Guang Wang, Chun Hua Deng, Yan Shao
Chapter 6: Energy & Electronic
Abstract:This article, aiming at the problem of simulating a RIA (radioimmunoassay analysis) curve by function, analyzes the difference among four...
747
Authors: Guang Peng Xiao, Xue Ming Tao, Dan Dan Guo
Chapter 11: Monitoring and Control of Quality Engineering
Abstract:This paper introduces the concept of subjective functional reliability and requirements method, and the establishment of a functional...
3493