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Risk Conception and Evaluation in Taiwan Financial Markets

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  • Yin-Ching Jan

Abstract

An experiment is designed to explore risk conception and evaluation of investors. A new risk measurement, which is called martingale variance, is included. The new measure uses previous return as benchmark instead of mean return to calculate variance. The results show that respondents are more care about expected loss than variance, but are indifferent between variance and loss probability. Meanwhile, the respondents prefer martingale semivariance to martingale variance significantly. The weighted martingale semivariance also dominates martingale semivariance. The results can be helpful to explain the relationship between risk and return.

Suggested Citation

  • Yin-Ching Jan, 2015. "Risk Conception and Evaluation in Taiwan Financial Markets," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 7(1), pages 6475-6475, December.
    • Handle: RePEc:mth:ajfa88:v:7:y:2015:i:1:p:6475
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    File URL: https://www.macrothink.org/journal/index.php/ajfa/article/view/6602
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    More about this item

    JEL classification:

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

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