期刊论文、会议论文

Wen, Fenghua

英文

Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

2012

390-393

5th International Conference on Business Intelligence and Financial Engineering (BIFE)

2012 Fifth international conference on business Intelligence and financial engineering

AUG 18-21, 2012

Lanzhou, PEOPLES R CHINA

[Wen, Fenghua;He, Zhifang;Dai, Zhifeng;Gong, Xu] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Hunan, Peoples R China.

Natl Nat Sci Fdn, Chinese Acad Sci (CAS), Chinese Acad Sci (CAS), Acad Math & Syst Sci, City Univ Hong Kong, Coll Business, Beijing Univ Chem Technol, Sch Econ & Management, Chinese Acad Sci (CAS), Ctr Forecasting Sci (CEFS), Chinese Acad Sci (CAS), Key Lab Management, Decis & Informat Syst (MADIS), Changsha Univ Sci & Technol, Sch Econ & Management, Beijing Univ Chem Technol, Ctr Energy Chem Management, Beijing Zhongke Markway Educ Technol Ctr, Syst Engn Soc China, Beijing Operat Res Soc, Int Inst Decis Sci (IIDS), Syst Engn Soc China, Tech Comm Energy Chem Syst Engn, Operat Res Soc China, Tech Comm Decis Sci, Chinese Soc Management Modernizat, Tech Comm Management Sci & Engn, Syst Engn Soc China, Tech Comm Financial Syst Engn, Chinese Soc Management Modernizat, Tech Comm Business Intelligence, Chinese Soc Optimizat, Youth Branch, Overall Planning & Econ Math

Yu, L Zhang, G Wang, S

345 E 47TH ST, NEW YORK, NY 10017 USA

IEEE

978-0-7695-4750-3

10.1109/BIFE.2012.88

本校为第一且通讯机构

Beside the influence of information flow on stock price volatility, to study whether disposition effect, a kind of investor's different decision-making behavior, also has some important influence on stock price volatility, this paper introduces capital gains overhang to GARCH-V model and establishes GARCH-V-G Model, chooses stock index on developed market and emerging market respectively as samples and makes a comparative empirical study. The results show the capital gains overhang is negatively related to price fluctuation on stock markets, which means investors with capital gains weaken the ...