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Nationality and risk attitude: Testing differences and similarities of investors' behavior in selected financial markets

Author

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  • Apartsin, Yevgenia
  • Maymon, Yafit
  • Cohen, Yuval
  • Singer, Gonen

Abstract

We first applied cluster analysis on selected stock market indexes (NASDAQ, DAX, Nikkei 225, FTSE 100, and Dow-Jones) for identifying four global fundamental patterns of stock markets behavior (to be named “market conditions”). On each of these patterns (attesting similar market conditions) we then applied Support Vector Machine (SVM) classification technique to test for the similarities and differences in the behavior of investors in the various stock markets. Our results show a good degree of separation of investors' behavior for the selected national stock markets (i.e., investors in different national financial markets react differently, facing the same market conditions, while the two US national markets (NASDAQ and Dow-Jones) behave the same). The results could be interpreted as a positive evidence for different investor behavior (and risk attitude) in different national stock markets. The presented approach could be used for further classification of financial indices behavior, and investment strategies associated with multinational investment portfolios.

Suggested Citation

  • Apartsin, Yevgenia & Maymon, Yafit & Cohen, Yuval & Singer, Gonen, 2013. "Nationality and risk attitude: Testing differences and similarities of investors' behavior in selected financial markets," Global Finance Journal, Elsevier, vol. 24(2), pages 114-118.
    • Handle: RePEc:eee:glofin:v:24:y:2013:i:2:p:114-118
    DOI: 10.1016/j.gfj.2013.07.005
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    References listed on IDEAS

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    1. Ardagna, Silvia, 2009. "Financial Markets’ Behavior Around Episodes of Large Changes in the Fiscal Stance," Scholarly Articles 2579824, Harvard University Department of Economics.
    2. Kam C. Chan & Benton E. Gup & Ming‐Shiun Pan, 1997. "International Stock Market Efficiency and Integration: A Study of Eighteen Nations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 803-813, July.
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    Cited by:

    1. Shah Saeed Hassan Chowdhury, 2023. "Spillover of Sentiments Between the GCC Stock Markets," Global Business Review, International Management Institute, vol. 24(6), pages 1434-1453, December.
    2. Daniel Perez-Liston & Daniel Huerta-Sanchez & Juan Gutierrez, 2018. "Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 185-212, August.

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    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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