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 ...
