金融市场MAX效应的影响因素研究——基于价格视角
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引用本文:陈 文 博1,2.金融市场MAX效应的影响因素研究——基于价格视角[J].财经理论与实践,2021,(3):49-57
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陈 文 博1,2 (1. 中国农业银行博士后科研工作站北京 1000052. 北京大学 经济学院北京 100871) 
中文摘要:金融市场的变量虽然纷繁复杂,但价格因其直观性和重要性,成为金融市场参与者最易观察且难以忽略的变量,正因如此,价格对市场参与者的心理和行为产生了深刻影响。以中国股市2004年1月至2020年6月的数据为样本,探究价格因素会如何影响由追涨行为所导致的MAX效应。实证结果发现:投资者的追涨勇气和热情明显会受到价格影响,即当反应市场整体价格水平的股指指数近期上涨或波动率越小时,亦或当个股价格越低于其前期最高价、越低于投资者购买价时,投资者越乐于追涨具有“高极端收益”的个股,MAX效应也随之会更显著。
中文关键词:MAX效应  股指近期涨跌  股指近期波动率  锚定效应  盈亏状态
 
A Research on the Influencing Factor of MAX Effect in Financial Market: A Perspective of Price
Abstract:Although the variables of financial market are complicated, price is the most easily observed and difficult to ignore variable for its intuitiveness and importance. Therefore, price has a profound impact on the psychology and behavior of market's individuals. Based on the Chinese stock market's data from January 2004 to June 2020, this paper explores how price affects the MAX effect caused by the pursuit behavior. The empirical results show that: the price will significantly affect the investors' courage and enthusiasm for pursuing the stocks with high extreme returns. When it comes to a recent rise or low volatility of the stock index that reflects the overall price level of the market, or when the price of an individual stock is lower than its previous maximum price, or lower than the purchase price, investors are more enthusiastic to chase up the stocks with high extreme returns, and the MAX effect will be more significant accordingly.
keywords:MAX effect  stock index return  stock index volatility  anchoring effect  profit/loss condition
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