Experiments on Hot-hand Effect and Gambler’s Fallacy in Chinese Investors
With psychological experiments, we found that whenever stock price goes up or goes down continuously, gambler’s fallacy will dominate hot-hand effect in investor’s information process to serial changing stock price. When stock price goes up continuously, the longer the price up, the larger is the probability that investor think the price will drop down in next period, and the tendency to sell it get more evident. On the other hand, when stock price drops down continuously, the longer the price down, the larger is the probability that investor think the price will go up in next period, and the tendency to buy it became larger. These results suggest that at least psychological factor exist in the individual investor that hope the market will reverse to bullish in today’s bearish Chinese stock market. Disposition effect is also found in the experiments, which is more evident in female investor than in male investor and more evident in the investor with low level investment knowledge and less experience than those with higher level. Experiments also indicate that Chinese investors like short-term investing which is much shorter than one year.
hot-hand effect gambler’s fallacy psychological experiment disposition effect
林树 俞乔 汤震宇 周建
复旦大学管理学院,上海,200433; 复旦大学管理学院,上海,200433;清华大学公共管理学院,北京,100084
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）