股票价格大幅变动后的可用性启发式和反转:来自富时100指数的证据

IF 3.2 Q1 BUSINESS, FINANCE
Diogo Matos, Luís Pacheco, Júlio Lobão
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引用次数: 1

摘要

本文考察了当2010-2018年期间英国股市发生重大价格变化时,投资者在投资决策中是否表现出可用性启发式的证据。我们提出假设,如果股票价格的重大变动发生在股票市场指数也经历重大变化的一天(无论是正的还是负的),那么这种冲击的程度可能会因积极投资或消极结果的可用性而增加。我们应用了三种不同的代理来处理大的股票价格变化,这为本研究提供了一个可靠的事件样本。我们没有发现可用性启发式的显著证据。此外,我们也没有发现价格过度反应的显著证据,无论是价格下降还是价格上涨。相反,我们发现了稳健的结果,表明这一时期股票价格的行为具有随机性,从而支持金融市场的效率,并反对在美国进行的类似研究的结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Availability heuristic and reversals following large stock price changes: evidence from the FTSE 100
This paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010–2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant change (either positive or negative), then the magnitude of that shock may be increased by the availability of positive investment or negative outcomes. We applied three different proxies for large stock price changes which yielded a robust sample of events for this study. We found no significant evidence of the availability heuristic. In addition, we also found no significant evidence of price overreaction for both price decreases and increases. Inversely, we found robust results that suggest randomness in the behavior of stock prices in this period, thus supporting the efficiency of financial markets and opposing the results from similar studies carried out in the United States.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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