An Empirical Research On Disposition Effect Of Institutional Investors In China

With the sudden emergence of Behavioral Finance Theory, and its outstanding performance in the interpretation of the anomaly in the capital market, the study of Behavioral Finance has become a hot topic in the field of Economics and Finance. By studying and researching on it, scholars found that domestic individual investors tended to sell the profit stocks and hold the lost ones in the investment activities, which was called Dispositions Effect. But whether this phenomenon in the investment activities of the institutional investors haven't be the researched yet. As we all known, institutional investors play an important role in China's capital market, therefore its rapid development and it seems to be rational make the research on their investment behavior characteristic have a strong theoretical and practical significance.This paper critically absorbs and learns from the literature and academic point of view on the Disposition Effect and the Prospect Theory. And then collect the details of the equity investments in semi-annual and annual reports of every fond in China during 2005 to 2010, which form the time series data. On the base of the data, the evolution path of the holding of number and time of every period of every Fond can get form the Matlab by writing a program. We measure the profit of the stocks by comparing the stock returns and the market return, then establish the statistics called "trading cycle time" and "sell surplus to sales loss ratio" to measure the disposition effect of institutional investors in China and the difference between the two kinds of statistics. In the last, do the significance test of the results by statistical methods, econometric methods.It is found that:as a whole, there is no disposition effect in the Fond. There is disposition effect in the closed-end funds, but there is no disposition effect in the open-end funds. The disposition effect of open-end funds with larger size is stronger than that of smaller size. And the disposition effect of the higher net value funds is a litter stronger than that of the lower ones.