As a core component of the prospect theory, a value function is employed to characterize the subjective experience of a decision-maker's gain or loss. Previous empirical studies of the prospect theory were largely carried out through psychological experiments on individual decision-makers. In this paper, taking the whole stock market as an entity, we use the flow of information extracted by EGARCH Model as the proxy variable of change in wealth, and then use a two-stage power function as the representation of the value function to study the daily return data from the stock markets of 10 countr...
