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An Empirical Study of Investors¡¯ Disposition Effect in China Based on Open Data from the Chinese Stock Markets

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  • Huan Cai
  • Meining Wang
  • Chaonan Bai

Abstract

This paper focuses on investors¡¯ different behavioral biases in China¡¯s segmented stock markets and investigates the correlation between average holding periods, stock returns and investors¡¯ disposition effect between 2010 and 2014. The results show that the disposition effect is prevalent in A-share market but is very weak in Growth Enterprise market and there is a lack of evidence to support the existence of disposition effect in B-share market. The study supports the view that investors¡¯ experience and sophistication can partly help reduce investors¡¯ behavioral biases in stock markets. It also indicates that investors in A-shares market prefer to hold stocks with larger market capitalization for longer periods, while investors of B-shares markets and Growth Enterprise market do not reveal a specific preference for market capitalization.

Suggested Citation

  • Huan Cai & Meining Wang & Chaonan Bai, 2018. "An Empirical Study of Investors¡¯ Disposition Effect in China Based on Open Data from the Chinese Stock Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(5), pages 165-172, May.
    • Handle: RePEc:ibn:ijefaa:v:10:y:2018:i:5:p:165-172
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    References listed on IDEAS

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    Cited by:

    1. Kahya, Evrim Hilal & Ekinci, Cumhur, 2022. "Disposition bias among Borsa Istanbul investors: What do we know about type, size and trading frequency?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).

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    More about this item

    Keywords

    investors¡¯ behavior; disposition effect; investment experience;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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