Experimental Study And Empirical Research On Risk Taking Behavior And Stock Price Volatility

In mid June 2015,China’s A share market reached 5166 points but the vertex,followed the stock market crash,the stock market crash that by July 8th,the market closed at 3507 points,down to 32.11%.In the face of the sudden crash of the parties are experts in their interpretation.So,this paper attempts to start from the perspec-tive of behavioral finance,investors bear the risk of behavior change is the focus of the study,explain the relationship of risk-taking behavior and asset price volatility.Based on the Fama(1970)of the classical efficient market hypothesis,the traditional theory thinks that rational investors face the stock price from the basic value moves upward,investors should sell stocks or short stocks in order to correct the market temporarily to the stock price misevaluation,promoting price return to basic value level.However,investors tend to investment returns are over optimistic,make more aggressive investment decisions,namely investment "hot hand effect",even as riding on asset price bubbles(Chen Guojin,2012).In view of this phenomenon,from the perspective of behavioral finance,the risk taking behavior has changed before and after the stock price changes.From the description index of risk-taking behavior,that is,investors have significant differences in turnover and turnover in the stock market.Modern behavioral finance extends the concept of risk-taking behavior to in-vestors’ domain,which is manifested as the risk-taking behavior of investors.How-ever,it is not clear what the relationship between risk-taking behavior and stock market price trends.In this paper,first of all,this paper attempts to study the risk taking behavior of investors in investment choice by using the experimental eco-nomics and the data generated by experiments.Laboratory experiments as an empir-ical data generation method,not only can be observed in the decision-making results,and for the decision-making mechanism of different variables,from the control point of view,to distinguish between influence factors.The laboratory experiments have the advantages of controllability,comparability and repeatability,which provide the possibility for the study of many anomalies in capital markets and the examination of basic theories.In this paper,we construct an investment market which takes the subjects as the passive recipients of prices by abstracting the actual transaction conditions.Set the experiment to the 30 phase,and the price of these 30 stocks is based on the Shanghai stock market index,which was obtained by price before and after 2015.The only task the subjects did was to make the difference by buying and selling the assets based on the circumstances above.In the experiment part of this paper explores the degree of risk aversion,loss aversion and ambiguity aversion and investment experience whether for investors and risk-taking behaviors constitute specific effects,and this effect is what mechanism based on.Then in the part of empirical research,this paper will from January 5,2009 to 30 June 2015,1575 trading days,the Shanghai composite index trading volume and turnover rate as the sample data,through the data index,removal time trend and the combination of Andersen(1996)MDH theory,the trading volume is divided into two parts:non information trading volume(expected trading volume or flow volume)and information volume(non expected trading volume).In the stationary test of the above results,regression analysis was carried out using the VAR model,and then through the Granger causality test,this paper explores the real market investors risk taking behavior is how to influence the stock price fluctuation.Combined with previous studies,this paper uses both empirical research meth-ods and behavioral finance research methods,namely experimental economics method.The experimental results and the results of empirical research combined with the analysis,this paper argues that:Based on the experimental research,this paper found the risk attitude,loss aversion,cognitive ability and ambiguity aversion significantly affect the investor’s risk taking behavior,and the subjects in the exper-iment showed the changes of risk-taking behavior,shares in the initial slow the rising stage,the subjects’ risk-taking behavior will follow ups but when the stock price dropped suddenly,investors tend to exhibit the "disposition effect",widely held assets.Through the method of empirical research,this paper found some pre-diction of risk taking behavior of the radical for the stock price fluctuations corre-sponding to the empirical research,this paper found that the investor’s risk taking behavior due to the rising of the stock price to rise,the results of Granger causality test results reject the null hypothesis,indicating that investors bear the risk the be-havior and stock price on each other there is a causal relationship between Grainger,but predict predict index change is greater than the risk taking behavior.Based on the experimental research,the article considers that the change of risk-taking behav-ior is affected by risk attitude,loss aversion and fuzzy aversion degree and trading experience mechanism.