Heterogeneous Beliefs’ Impact On The Future Value-At-Risk Of Chinese A-Shares Stock Market

With an eye to the Short-restricted rules, Price limit and T+1Trading System, a censored CAViaR model ajusted by heterogeneous beliefs is used in this paper to study the impact of heterogeneous beliefs on Chinese A-Shares market’s future Value at Risk in two aspects:macroscopic view and microcosmic view.The results shows that:with the constraints of T+1Trading System and Short-restricted rules, the impact of investors’ heterogeneous beliefs on the future VaR of Chinese A-Shares market’s was significant not only in macroscopical aspect but also in microcosmical aspect.A), In the macro perspective, Shanghai A-Shares market’s future VaR was easily affected by the impact of investors’nagetive heterogeneous beliefs. On the contrary, Shenzhen A-Shares market’s future VaR was more easily influenced by the impact of investors’positive heterogeneous beliefs. Therefore, Shanghai A-Shares market’s investors should pay more attention to the impact of nagetive heterogeneous beliefs and the investors in Shenzhen A-Shares market should devote more attention to the impact of positive heterogeneous beliefs when they measuring the portfolio risk.B), In the micro perspective, most of A-Shares individual stock’s future VaR were affected by the autocorrelation parameter of VaR, the impact of investors’positive heterogeneous beliefs and the negative inertia of stock price. Only a small number of individual stock’s future VaR were affected by the impact of investors’negative heterogeneous beliefs and the positive inertia of stock price,on the contrary. Hence, if we want to get the individual stock’s future VaR accurately, the following three factors should be token into our consideration:the autocorrelation parameter of VaR, the impact of positive heterogeneous beliefs impact and the negative inertia of stock price. When stock’s price is rising with a high turnover, the impact of positive heterogeneous beliefs shouldn’t be ignored.C), The effects of positive heterogeneous beliefs in the future VaR of Chinese A-Shares market’s individual stocks depends obviously on its scale, small-cap stocks were affected by positive heterogeneous beliefs much more easily. When a small-cap stock price is rising with a high turnover, the impact of positive heterogeneous beliefs on the stock’s future VaR should be on the alert.