TITLE:
A Summary of Theoretical and Empirical Test on the Disposition Effect of Securities Investment Fund in China
AUTHORS:
Yuchen Li
KEYWORDS:
Disposition Effect, Securities Investment Fund, Open-End Funds, VAR Model
JOURNAL NAME:
Modern Economy,
Vol.11 No.4,
April
21,
2020
ABSTRACT: The disposition effect is an irrational behavior of investors,
that is, investors tend to sell winners too early and hold losers too long.
There are many researches on the disposition effect of stock market, but few
researches about the fund market. Therefore, we sort out the relevant
literature examining the existence of the disposition effect of securities
investment fund in China. Then, we use data of 306 open-end funds in China from
2010 to 2018 to examine the existence of the disposition effect of securities
investment fund in China by establishing VAR model. The empirical results show
that: there is no disposition effect on securities investment fund in China.