期刊论文、会议论文

Wen, Fenghua

英文

Procedia Computer Science

1877-0509

2013

17

664-670

1st International Conference on Information Technology and Quantitative Management (ITQM)

Procedia Computer Science

MAY 16-18, 2013

Suzhou, PEOPLES R CHINA

[Wen, Fenghua;He, Zhifang;Chen, Xiaohong] Cent South Univ Technol, Sch Business, Changsha 410083, Peoples R China.^[Tao, Mengxian] Changsha Univ Sci & Techno, Sch Econ & Mangement, Changsha 410114, Hunan, Peoples R China.

Int Acad Informat Technol & Quantitat Management, Chinese Acad Sci Res Ctr Fictitious Econ & Data Sci, Univ Chinese Acad Sci, Sch Management, China Singapore Suzhou Ind Pk, China Data Technol (Suzhou) Co Ltd, Xian Jiaotong Liverpool Univ, Chinese Acad Sci, Inst Policy & Management, Univ Nebraska Omaha, Chinese Soc Management Modernizat, Natl Nat Sci Fdn China, China Financial Futures Exchange, Yihaodian Com, Wintek Corp, Footdisc Inc, Emerald

Shi, Y Xi, Y Wolcott, P Tian, Y Li, J Berg, D Chen, Z HerreraViedma, E Kou, G Lee, H Peng, Y Yu, L

SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS

ELSEVIER SCIENCE BV

10.1016/j.procs.2013.05.086

Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [70921001, 71171024]

本校为其他机构

This paper builds a GARCHC-M model to explore the effect of the gain or loss on investors’ risk attitudes on the basis of the previous studies of time-varying risk compensation. Then we introduce the risk attitude in GARCHS model's skewness equation and develop a GARCHCS-M model to study its effect on the return skewness. The data of composite indexes of stocks whose market values rank the top ten among the global stock exchanges in 2011 are used to make an empirical study. Results show that investors’ risk attitudes are affected by current g...