Performance of Biased Trend-following Stock Investor in Mainland China and Hong Kong
As extensively documented in literature,stock investors are not fully rational in their trading decisions as many behavioral biases affect their actions.However,most of the behavioral finance literature has explained only empirical phenomena observed in financial markets;little attention has been paid to how technical investorstrading performance is affected by their behavioral biases.Incorporating conservatism bias and disposition effect,we construct a model of moving average strategies to mimic technical trend followers.A comparative study is conducted by applying the model to historical data of SSE Index and HSI for the period from 12 Jul.1994 to 15 Oct.2010;findings with respect to different terms (time steps) of trend following and impact of the biases are drawn.Its found that trend-following strategies can remarkably beat both the markets,and trends exist in a shorter term for China stock market than for Hong Kong market.In contrast,downward trend following cannot produce consistent gains in either market.Further,behavioral biases exert detrimental effects on traders chasing trends over shorter terms.
Trend-following Investor Behavioral Bias Conservatism Disposition Effect Behavioral Finance
Haywood Cheung Kin Keung Lai Ke Liu
Simsen International Corporation Ltd Hong Kong Department of Management Sciences City University of Hong Kong,HongKong Department of Management Sciences City University of Hong Kong,Hong Kong
国际会议
昆明、丽江
英文
548-552
2011-04-15（万方平台首次上网日期，不代表论文的发表时间）