Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [70921001, 71171024]
机构署名：
本校为其他机构
院系归属：
经济与管理学院
摘要：
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...
