Effects of Behavioral Parameters on Volatility of Asset Prices in China

Author

Ma Lili ; Xiong Ruize

Author_Institution

Sch. of Econ. & Manage., Wuhan Univ., Wuhan, China

fYear

2011

fDate

12-14 Aug. 2011

Firstpage

1

Lastpage

4

Abstract

The fluctuations of capital market mainly originate from the volatility of asset price. How to understand and describe the volatility of asset price is meaningful for both the finance theory and the finance application. The attribute of investor´s subjective behavior makes marked effect on asset price. This paper sets the equilibrium price of stock in capital market as a function of subjective discount factor, relative-risk-aversion coefficient, and habitual parameter, and researches the effects of the investor´s behavioral parameter´s fluctuations on volatility of asset price with the method of numerical simulation. The simulation outcome reveals that a little fluctuations of investor´s behavioral parameter result in big fluctuations of stock price in China.

Keywords

financial management; investment; numerical analysis; pricing; risk analysis; stock markets; China; asset price volatility; behavioral parameters; capital market; equilibrium price; finance application; finance theory; habitual parameter; investor behavioral parameter fluctuations; investor subjective behavior; numerical simulation; relative-risk-aversion coefficient; subjective discount factor; Elasticity; Finance; Fluctuations; Mood; Numerical simulation; Stock markets;

fLanguage

English

Publisher

ieee

Conference_Titel

Management and Service Science (MASS), 2011 International Conference on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-6579-8

Type

conf

DOI

10.1109/ICMSS.2011.5998459

Filename

5998459