Disposition Effect Research On The Chinese Security Market In

The profit and loss of a stock is the key influent factor of investor's buying-selling decision. The disposition effect refers to investor prefer to selling the present profit stocks and holding the present loss ones. But, as we all known, too early to sell the present profit stocks, it maybe loss the chance of further making profit, and the same time, too late to hold a present loss ones, it maybe bring the excess risk to the investors in the security market.Although the Chinese stock market though more than ten years development, the invest behavior and psychology of the market investors have not be efficient, and the investor rationality is low and many irrational behavior exists in the Chinese security market, all of this show that the Chinese security market is still keeping the characters of new-born market, and these characters bring amount of system risk to our security market. Facing these kinds of complex market, therefore, our investors maybe show out the disposition effect more strongly.The paper follows by the theory of financial behavior, to study on the investor's behavioral mode and invest strategy in the process of stock exchange, and through empirical research on the real stock invest behavior of the Chinese security market investor to figure out their behavioral mode and their rationality degree of their invest behavior. Comparing to the efficient market of foreign countries, the investor structure of our security market depends mainly on the individual investor, and between the individual investor and the institution investor, there is big difference in their information and capability, this is another obvious character of our security market. Because of this, this paper divides investors into individual investor(small investor, medial investor) and institution investor, using the really data directly from the investor's exchange database, to compare the disposition effect among different kinds of investor and explain the mechanism and internal link between these behavioral mode and invest psychology.The paper is divided into five chapters. The first chapter puts forward the problem and points out the theoretical and realistic significance of research on disposition effect in Chinese stock market. In addition to, it introduces the structure and main content of this paper. The second chapter is about the review of financial behavior theory. After presenting the challenge of the efficient market and put forward the conception of financial behavior, it casts back the theoretical research results. The third chapter is a theory study, giving a review of the disposition effect. The fourth chapter which is the key part of this paper is about empirical study on the disposition effect of the stock investor in Chinese stock market. It applies statistic testing method to make whole and classificatory empirical test on different kinds of invest mode of Chinese stock investor's disposition effect and attains to a series of conclusions. The fifth chapter is about the cause and trend analysis of Chinese investor's disposition effect, and the policy suggestions put forward. The last chapter is about the retrospect and prospect of the whole paper.