中国股票市场个体投资者“处置效应”的实证研究

This paper empirically studies the disposition effect of China stock market based on data from individual investors. We examine whether impact of December effect on disposition effect exists in the stock market. We further analyze disposition effect characteristics of individual investors under bull or bear markets based on the psychological phenomena that emotion affects investment decisions. We find that there is obviously disposition effect for individual investors, that various characteristics exist in different market situations, and there exists ”reverse disposition effect” in December.