ֻ18ज ֻ5௹ᇏݓܵ॓࿐, 2010୍ 10ᄅ ChineseJournalofManagementScienceOctober, 2010໓ᅣщݼ:1003-207(2010)05-0007-07股票市场价值函数实证研究文凤华1,3,饶贵添1,杨晓光1,2,3(11长沙理工大学经济与管理学院,湖南长沙 410004;21中国科学院数学与系统科学研究院管理a决策与信息系统重点实验室,北京 100080;31湖南省金融工程与金融管理研究中心,湖南长沙 410004)ᅋ ေ:ࡎᆴݦඔ൞భࣟં֥ނྏቆӮ҆ٳ,Ⴈၛख़߂थҦᆀؓႿ൬ၭބാ֥ᇶܴۋ൳bၛభؓభࣟં֥ൌᆣ࣮ࠎЧഈ๙ݖྏ࿐ൌဒটࣉྛ,ط൞ᆌؓथҦᆀ۱ุࣉྛ֥bЧ໓ၛܢௐ൧ӆᆜุູؓའ,ҐႨEGARCHଆิ౼֞ղ൧ӆഈ֥ྐ༏ੀቔູҍڶڿэ֥սэਈ,০Ⴈਆࢨ؍ૢݦඔቔູࡎᆴݦඔ֥іགྷྙൔ,ؓ۱ݓࡅܢௐ൧ӆഈሸކᆷඔ֥ರ൬ၭੱඔऌࣉྛਔൌᆣ࣮bൌᆣࢲݔؿགྷ۲ݓܢௐ൧ӆഈࡎᆴݦඔनӯགྷّSྙሑ֥,ა؟ඔྏൌဒᇏ۱ุथҦᆀіགྷࡎᆴݦඔӯSྙሑᝀಖႵљbܱՍ:భࣟં;ࡎᆴݦඔ;ࡎ۬ѯ;ྐ༏ਙᇏٳোݼ:C931 ໓ངѓ്:AH]o(1994[10),WuބGonzalez(1996[11]),Stott1 ႄ(2006[12])ᄝഡקۀੱಃᇗݦඔҕඔྙൔ֥భิ༯,Ⴎ2002୍୶Нغࣜ࠶࿐ࢂ֤ᇶaᇷྏ࿐ࡅؓభࣟં֥ࡎᆴݦඔࣉྛܙ࠹bఃᇏ,TverskyKahnemanࠣఃކቔᆀTverskyᄝ1979୍[1,2]ิԛބKahneman(1992)֥ࢲં൞ᆦӻࡎᆴݦඔ۱ห֥భࣟં൞ྛູࣁವ࿐֥ࠎԤ,ෛሢھંᄝࣁᆘ,֥ః࣮ᆀ֥࣮ᆺཋႿ൬ၭٚ૫ི֥ႨܙವaཨٮaᆟکथҦၛࠣࢌ๙ԛྛ֩ਵთ֤֞ਔᄀট࠹,ૌ֥ࢲݔ္ᆦӻ൬ၭ҆ٳ൞χ֥ࡌഡ[9-12]bᄀܼ֥ٗႋႨ,ؓఃࣉྛൌᆣဒ္э֤ರၭᇗေbAbdellaou]iaBleichrodetބHaridon(2008[13)Ⴈࡎᆴݦඔ൞భࣟં֥ނྏ҆ٳ,૭ඍथҦಒק֩ᆴم(CertaintyEquivalenty)ؓࡎᆴݦඔࣉᆀؓࡎᆴэ߄֥ᇶܴۋ൳,ׅ֥ࣜࡎᆴݦඔӯགྷSྛܙ࠹ؿགྷᄝሹุඣഈ,धն҆ٳൌဒؓའᄝ൬ྙሑbݓଽຓؓࡎᆴݦඔ֥ൌᆣဒႵਆᇕනਫ਼:ၭൈ൞ڄགညذ,طᄝാൈุགྷڄག࿙;ࡎᆴݦ၂൞๙ݖᆣಊ൧ӆᇏሧᆀ֥ࢌၞྛູหᆘࡗࢤဒඔᄝ൬ၭთ൞χ,֥طᄝാთѩ҂൞֥,طᆣ;ؽ൞๙ݖྏ࿐ൌဒࣉྛᆰࢤဒ,ᆃ൞ଢభࡎ൞ӯགྷັχ֥ྙሑ,ሹุඣഈૌ൞ാညذ֥bᆴݦඔൌᆣဒ֥ᇶေٚمb֒భ,๙ӈ൞๙ݖൌFennemaބVanAssen(1998[14]),Abdellaouiᆣ൧ӆഈ/ԩᇂིႋ0֥թᄝটဒᆣࡎᆴݦඔӯS(2000[15]),AbdellaouiaVossmannބWeberྙbOdean(1998,1999[3,4])aShumwayބWu(2005[16]),SchunkބBetsch(2006[17]),Abde-l(2005[5])֥ൌᆣ࣮ؿགྷሧᆀӯགྷԛԩᇂིႋblaouiaBarriosބWakker(2007[18])ϜWakkerބᄝᇏݓ,ӧބᄻႧ6](2004[)aྍਫ਼ބᅦ໓ྩDeneffe(1996[19])ิԛ֥ಃޙم(Trade-offMeth-(2005[7])aᅦྜᇝބᅦ࿐ङ(2008[8])࣮ؿགྷᇏݓod)ႄೆૌ֥ൌဒᇏ,ؓࡎᆴݦඔࣉྛܙ࠹b෮໌ܢௐ൧ӆഈሧᆀіྛູགྷԛԩᇂིႋbಃޙم൞Ֆ၂ਙؓФ൫ᆀऎႵཌྷིႨ֥,ЇݣTverskyބKahneman[9](1992),Camererބਆࢲݔ֥భࣟᇏ,֝ԛ၂ਙཌྷᆭࡗࡗۯཌྷ֥֩ࢲݔ,টؓభིࣟႨࣉྛܙ࠹bAbdellaouiaBar-൬۠ರ௹:2009-12-07;ྩרರ௹:2010-09-07[18]ࠎࣁཛଢ:ݓࡅሱಖ॓࿐ࠎࣁሧᇹཛଢriosބWakker(2007)ؓൌဒؓའՖሹุބ۱ุ(70971013);ଲസࢭԛౝ୍ࠎࣁ(09JJ1010);ଲസ࢝ტ๏Էྍཛଢ֥ਆ۱࢘؇ࣉྛ࣮ؿགྷ,ሹุၛࠣն҆ٳ۱ุᄝ(09K064)ቔᆀࡥࢺ:໓ڌ൬ၭഈ൞χ֥bFennemaބVanAssen(1972-),ଳ(ݱቂ),ଲၭဝದ,Ӊ೬۽ն࿐ࣜ࠶აܵ࿐ჽ࢝൱,࣮ٚཟ:ࣁವ۽ӱაྛູ(1998[14])aAbdellaou[15]i(2000),Abdellaouiaࣁವ1VossmannބWeber(2005[16]),SchunkބBetsch
#8#ᇏݓܵ॓࿐ 2010୍17](2006[)ؿགྷᄝሹุඣഈാთଽࡎᆴݦඔ۱ݓࡅܢௐ൧ӆሧᆀ֥थҦྛູ൞ڎژކࡎᆴݦྙሑ൞ັ,֥ѩ۱ุ֥ാݦඔޓ؟൞,֥ඔ֥หᆘb൞χ֥ބཌྟ္֥҂ഒbB[202 ൌᆣ࣮ഡ࠹]ooijބVandeKuilen(2006)ؓႨऎุ֥ۀੱಃᇗඔᆴ౼սؓۀੱಃᇗݦඔྙൔ֥ഡק,211 ൌᆣනਫ਼֤ఃॖၛൈ؇ਈ൬ၭބാི֥Ⴈ,ૌࢲݔ൞ࡎᆴݦඔ૭ඍथҦᆀ(ؓႋܢௐ൧ӆࣼ൞ሧᆦӻSྙࡎᆴ౷ཌbAbdellaouiaBleichrodtބᆀ)ؓႿҍڶބڞ০ڿэ֥ᇶܴۋ൳෮ྙӮ֥ࡎᆴbP1]araschiv(2007[2)ીႵؓۀੱಃᇗބིႨቓޅၹՎؓႿܢௐሧᆀ֥ࡎᆴݦඔ֥ൌᆣ,ླေ۳ԛࡌഡ,๙ݖི֝Ⴈᇏ֥ׄٚم(UtilityMid-ҍڶބڞ০ڿэ֥؇ਈބሧᆀؓႿሧܢௐ෮ջpoints),ൈܙ࠹ਔ൬ၭބാི֥Ⴈbૌ֥ࢲট֥ҍڶބڞ০ڿэ֥ᇶܴۋ൳෮ྙӮࡎᆴ֥؇ݔᆦӻ۱ದބሹุࡎᆴݦඔ౷ཌ൞Sྙ֥bLev-ਈb[22]y(2002)๙ݖࠁކభ֥ࣟྏ࿐ൌဒ,Ⴈభࣟ൮༵ॉ੮ҍڶބڞ০ڿэ֥؇ਈbؓႿܢௐطෛࠏᅝႪٚمބઔ॓ົՇෛࠏᅝႪٚم,࣮ؿགྷ,ҍڶބڞ০֥ڿэࠧ൞ܢௐᆇൌࡎᆴ֥ڿэ,ಖᇀഒ62%~76%֥טҰؓའѩ҂ऎႵభࣟંᇏSطܢௐ֥ᆇൌࡎᆴ൞҂ॖܴҩ,֥ླေ၇ौॖौ֥ྙ֥ࡎᆴݦඔ,ૌ֥࣮ࢲݔᆦӻઔ॓ົՇིႨսэਈࣉྛ૭ඍb෮໌ܢௐ֥ᆇൌࡎᆴ֥ڿэ,ݦඔ(ّࠧSྙིႨݦඔ)bBaucellsބHeukampࣼ൞ܢௐ҂൳ሧᆀ۱ದᇶܴۋ൳႕ཙ֥ࡎ۬ڿ(2006[23])Ϝყ௹ིႨં֥ؽࢨෛࠏᅝႪྟᇉঔэ,ࠧሧᆀປಆྟሑ༯֥ࡎ۬ڿэb۴ऌႵᅚ֞ࠒభࣟ,ંѩഡקۀੱಃᇗݦඔّູSྙ,ི൧ӆࡌඪ,ᄝሧᆀປಆྟ֥ሑ༯,ܢௐࡎ۬ؓఃࣉྛൌဒဒ,ؿགྷࢲݔᆦӻSྙ֥ࡎᆴݦඔb֥э߄౼थႿ൧ӆഈྐ༏֥႕ཙ,০ݺཨ༏֝ᇁࡎᄝᇏݓ,ᅦྮৡ(֩2005[24])๙ݖಃޙمؓࡎᆴ۬ഈᅨ,০ҵཨ༏֝ᇁࡎ۬༯ࢆ,҂ӱ؇֥০ݺݦඔࣉྛൌဒဒ,ؿགྷࡎᆴݦඔᄝാބ൬ၭ(০ҵ)ཨ༏ؓႋሢ҂ӱ؇֥ࡎ۬ഈᅨ(༯י)bၹთӯགྷ[25]Sྙሑbᄻࡹૹ(2007)ؿགྷᄝᇏնۀՎ,ૌॖၛࡌקҍڶބڞ০֥ڿэაྐ༏э߄ᆭੱൈ,ൌဒᆀᄝാൈ֥ڄག࿙ሹ൞бࠆ֤ൈ֥ࡗթᄝ၂ᇕ໗ק֥ᆞཌྟཌྷܱܱ༢bڄག߭х۷ૼཁbޅ٦(2009[26])ؿགྷᇏݓӮ୍थؓႿྐ༏֥؇ਈ,Ч໓ࡼ০ႨEGARCHଆҦᆀथҦྛູ൞ژކభࣟંࡎᆴݦඔ۱หׄิ౼җҵਙቔູྐ༏ੀ֥սіbႨᆃ۱җҵਙ,֥ӯགྷSྙbቔູྐ༏ੀ֥սі,൞ࠎႿၛ༯ਆׄႮ:ః၂,ྛՖၛഈ֥ሸඍॖၛुԛ,ݓଽຓؓࡎᆴݦඔູ֥ࣁವ࣮Ӯݔ(Jondeau,Rockinger,2003;ൌᆣ[28,29],Ԣ۱љ࣮൞๙ݖᆣૼԩᇂིႨ֥թᄝটࡗSchmid,Trede,2003;)ཁൕ,൬ၭੱٳ֥҃٤ࢤൌᆣࡎᆴݦඔຓ,ࠎЧഈ൞ࠎႿྏ࿐ൌဒটᆞหᆘა൬ၭੱਙѯ֥ၳٚҵ֩หᆘ,൞Ⴎࣉྛ֥bЧ໓ಪ,ູᄝሧᆀ൞Ⴕཋྟ֥భิ༯,ሧᆀ֥ྛູொҵ෮ႄఏb০ႨEGARCHଆॖᆇᆞ֥൧ӆ౦ࣟ൞ޓ๙ݖൌဒଆԛট֥;ط,ၛཨԢ൬ၭੱٳ֥҃٤ᆞหᆘა൬ၭੱਙѯ๙ݖྏ࿐ൌဒ֤ট֥ඔऌбࢠഒ,ൌᆣࡎᆴݦ֥ၳٚҵ֩หᆘ,ᆃဢิ౼֥җҵਙҌ൞҂൳ඔޓ֤ԛնࡅྐڛ֥ࢲݔbՎຓ,ၛສᆃུሧᆀྛູ႕ཙ/֥ᆇᆞ0൧ӆྐ༏bطᆃᇕቋ༵Ⴎྏ࿐࣮൞ၛ؇ਈ۱ุथҦᆀ֥ࡎᆴݦඔູؓEngleބNg(1993[30])ิԛEGARCHٚم,္эӮའ,ط҂൞ؓᆜุྛູ֥ॉਈbႿՎ,Ч໓ࡼᆰࢤ࠹ਈࣜ࠶࿐ቔູ؇ਈ֞ղᆣಊ൧ӆഈྐ༏ੀ֥၂ҐႨܢௐ൧ӆഈሸކᆷඔ֥ರ൬ၭੱটؓࡎᆴݦඔ۱ׅࣜቓمbఃؽ,֞ղᆣಊ൧ӆഈ֥ྐ༏൞Ⴎ၂ࣉྛൌᆣ࣮,ᆃ၂ٚ૫क़ڛਔൌဒޓଆԛᆇ۱ႚႵऍնሱႮ؇֥ࣜ࠶༢Ӂള,ᆃ۱༢֥ൻൌ൧ӆӆ֥ࣟ໙ี,ਸ਼၂ٚ૫္ࢳथਔൌဒඔऌݖԛэਈ(ྐ༏ੀ)ႋھ൞၂۱࿖ෛࠏႳሼ֥ෛࠏэഒ֥໙ี,ൈ္༐ຬॉҳՖ൧ӆᆜุط,ࡎᆴݦਈ,ᆃᄝЧᇉഈაEGARCHଆิ౼ԛট֥җҵඔ߶ӯགྷહဢ֥ྙބหᆘbਙ൞၂ᇁ֥b෮ၛЧ໓ႨEGARCHଆิ౼Ч໓ࡼ۱ݓࡅܢௐ൧ӆ֥ൌ࠽ࡎ۬э߄ඔऌ֥җҵਙቔູྐ༏ੀ֥սіb(ܢௐ൧ӆሸކࡎ۬ᆷඔರ൬ၭੱ)ބྐ༏ਙඔऌఃՑॉ੮ሧᆀؓႿሧܢௐ෮ջট֥ҍڶބࢲކఏট,০ႨW[27]akkerބZank(2002)ิԛ֥ਆڞ০ڿэ֥ᇶܴۋ൳෮ྙӮࡎᆴ֥؇ਈbႮႿሧࢨ؍ૢݦඔ,ؓࡎᆴݦඔࣉྛൌᆣ࣮,ၛဒᆃᆀ൞Ⴕཋྟ,֥҂ିؓ֞ղᆣಊ൧ӆഈ֥ྐ༏ቓ
ֻ5௹ ໓ڌ֩:ܢௐ൧ӆࡎᆴݦඔൌᆣ࣮#9#ԛఞّ֥֒ႋ,ສສۚܙࠇ֮ܙྐ༏֥ࡎᆴ,Ֆط֝ഈᆣᆷඔ(SSE)aರЧರࣜ225ᆷඔ(N225))aύֹᇁࡎ۬э߄აྐ༏ᆭࡗ֥ܱ༢Мჰটᆞཌྟཌྷܱ০ATXᆷඔ(ATX)aހধAEXᆷඔ(AEXGe-֥ݦඔܱ༢,ᆃဢିܔܴҩ֥֞ൌ࠽ࡎ۬э߄აnaral)aၩն০MIBTELᆷඔ(MIBTEL),܋10۱ሧᆀປಆྟൈ֥ࡎ۬э߄൞҂၂ဢ,֥ൌ࠽ࡎ۬ݓࡅ֥ܢௐ൧ӆሸކᆷඔbູਔьႿбࢠ,ൈࡗࢥэ߄ॖၛुቓ൞ሧᆀؓሧᆀປಆྟൈࡎ۬эູ2000୍1ᄅ4ರ֞2009୍12ᄅ31ರbဢЧ߄֥ᇶܴࡎbطൌ࠽ࡎ֥۬э߄ؓႋ֥ࣼ൞ܢௐ࠹หᆘೂ༯:֥൬ၭੱ,ᆃ൞၂۱ॖၛᆰࢤܴҩ֥эਈbЧ໓֥ଢ֥൞ॉҳሧᆀࡎᆴ֥χྙb۴і1 ۲ݓܢௐ൧ӆሸކᆷඔರ൬ၭੱਙࠎЧ࠹หᆘऌభ૫֥ࡌഡ,ሧᆀປಆྟൈީ֥ࡎ۬э߄ބARCH-LMSkewnessJarque-BeraADFtesttestྐ༏ᆭࡗթᄝ၂ᇕᆞཌྟཌྷܱܱ༢,္ࣼ൞ඪܢௐCAC4001002910161737-11112858619642֥ҍڶބڞ০֥ڿэაྐ༏ᆭࡗթᄝሢ၂۱ᆞཌྟDAX010609873117721151653314911430ఊՑэߐ,طޅݦඔ֥χྙᄝᆞཌྟఊՑэFSI-01007611551745-101732710114935S&P5000100115311924-351934912616376ߐ൞҂э֥bၹՎ,ܢௐሧᆀ֥ҍڶބڞ০֥ڿSMI-01011214571796-111741110118145э؇ਈაҍڶބڞ০ڿэ֥ᇶܴۋ൳෮ྙӮࡎᆴᆭSSE0100982674196-22135312517583ࡗ֥ݦඔܱ༢,ॖၛႨྐ༏ა൬ၭੱᆭࡗ֥ݦඔܱN225-01191922818079-47152333211285༢ࣉྛ૭ඍbၹՎ,۴ऌభࣟં,ೂݔႨሺᇠіൕATX-01261943701493-46119776310594AEX01049418771522-111490914913581ሸކᆷඔ֥൬ၭੱਙ,ޘᇠіൕཌྷؓႋ֥ྐ༏MIBTEL-01246716551992-15150497612739ਙ ᇿ:іᇏJ-B࠹ਈၛࠣADFtestაARCH-LMtest֥ࢲ,ପહ൧ӆഈሸކᆷඔ൬ၭੱਙა֒௹ྐ༏ਙᆭࡗіൕԛট֥ྙܱ༢აࣼ൞భࣟં෮௹ຬݔनᄝ1%֥ᇂྐඣ༯ཁᇷb֥ࡎᆴݦඔb ۴ऌіᇏ֥J-B࠹ਈބொ؇ᆴ,ॖၛुԛ෮212 ଆ࿊ᄴႵᆷඔ֥൬ၭੱ҂ڛՖᆞٳ,҃թᄝቐொࠇႮႿଢభѩીႵ၂۱ॖၛൈؓࡎᆴݦඔ֥൬ᆀႷொ֥໙ีbਸ਼ຓؓ൬ၭੱਙࣉྛADFဒၭބാ҆ٳࣉྛൌᆣ࣮֥ଆ,ܣЧ໓ࢹݓ(Ґ౼AICሙᄵಒקކࢨඔ,ဒᇏ҂ݣӈඔཛຓ֥ቓم,ҐႨਆࢨ؍ݦඔྙൔٳљؓ൬ၭބാބ൝ཛ),Ֆіᇏࢲݔु෮Ⴕ൬ၭੱਙ൞໗ඔऌࣉྛ݂߭bЧ໓෮Ⴈ֥൞WakkerބZankਙbࣉ၂҄ࣉྛARCH-LMဒࢲݔཁൕ,෮(2002)ิԛ၂ᇕਆࢨ؍ૢݦඔࡎᆴݦඔࣉྛൌᆣႵ֥ARCH-LMဒ֥ཌྷϴۀੱनཬႿ1%֥ཁ࣮,ఃൌ൞KahnemanބTversky(1992)ิԛᇷඣ,ඪૼҗҵਙಒൌթᄝཁᇷ֥ARCH-֥ࡎᆴݦඔऎุྙൔ֥၂۱эྙbଆऎุྙൔೂLMིႋb༯:Aax4 ൌᆣࢲݔi,xi\0,a>0,A>0u(xi)=-Bb|xi|,xi<0,b>0,B>0411 ྐ༏ੀඔऌ֝ఃᇏ,u(xi)ޙਈሧᆀֻؓi۱ࢌၞರ֥൬Ֆഈ૫ٳ༅ॖᆩ,Ч໓ॖ০ႨEGARCHଆၭࠇᆀാ֥ᇶܴࡎᆴ؎,xiіൕֻi۱ࢌၞರটख़߂۲ᆷඔ൬ၭੱ֥ѯྟหᆘ,Ֆط֝ԛ෮֥ྐ༏ਈ,aab൞ҕॉ༢ඔ,AaBіൕാთࡎေ֥ྐ༏ඔऌbᆴૢݦඔ֥χӱ؇bఃᇏEGARCHଆູ:3yt=Qyt-1+Lt ဢЧࠣః࠹หᆘЧ໓ҐႨܢௐ൧ӆሸކᆷඔರ൬ၭੱቔູဢln(R2t)=X+Nln(R21t-1)+WLt-1|R|+CLt-t-1Rt-1Ч,ರ൬ၭੱ۴ऌ܄ൔyt=ln(spt/spt-1)࠹ෘ,ఃytіൕЧࢌၞರܢௐࡎ۬טᆜު֥൬ᆷඔ,ᇏsp൞۲ݓܢௐࡎ۬טᆜު֥൬ᆷඔbඔऌটyt-1іൕഈ၂ࢌၞರ֥טᆜު൬ᆷඔ,LtսіྐჷႿҍࣜ(http://finance1yahoo1com/)bЇ༏,Lt>0,іൕ০ݺཨ༏,Lt<0іൕ০ॢཨ༏bওمݓCAC40ᆷඔ(CAC40)a֣ݓDAXᆷඔؓ۲ݓᆷඔࣉྛEGARCHކުؓҗҵࣉྛ(DAX)aႇݓؗFSIᆷඔ(FSI)aૅݓS&P500ARCH-LMဒ,ໃؿགྷթᄝၳٚҵགྷའbࢲݔᆷඔ(S&P500)aೋൖSWISS൧ӆᆷඔ(SMI)aᇏݓі2b
#10#ᇏݓܵ॓࿐ 2010୍і2 ۲ᆷඔ൬ၭੱਙ֥ARCH-LMဒ෮ႨଆARCH-LMTestObs@R-squaredProbabilityF-StatisticProbabilityCAC40EGARCH(1,2)717897016701017577016711DAXEGARCH(1,2)716467015703018546015712FSIEGARCH(1,1)119261019281013173019284S&P500EGARCH(1,1)012232019740010754019740SMIEGARCH(1,2)1617638014568019674014579SSEEGARCH(1,1)919731016962017458016974N225EGARCH(1,2)1519453012520112268012522AEXEGARCH(1,1)617451013403111312013407MIBTELEGARCH(1,1)612319013976110389013982ATXEGARCH(1,1)211387015452017105015457 ۴ऌభ૫ؓྐ༏ਙ֥קၬ,ؓ֝ԛ֥ྐ༏ྐ༏ਙ֥ඔऌࣉྛ٤ཌྟ݂߭ٳ༅,֤ԛ֥ࢲݔਙඔऌᄜࣉྛ໗ྟဒbႮႿྐ༏ੀඔऌਙೂі4bѩࢩएބૼཁ൝,෮ၛ࿊ႨႵࢩएཛ൝ཛ֥і3 ྐ༏ਙඔऌADFဒࢲݔADFဒ,ҐႨAICሙᄵಒקކࢨඔ,ࢲݔೂі3bADFဒᆴ1%ཁᇷඣ༯ਢࢸᆴCAC40-49150675-215660Ֆі3ॖၛुԛ,ᄝ1%ᇂྐඣ༯,෮Ⴕྐ༏FSI-49187227-215660ਙඔऌ൞໗֥bDAX-48116819-215660S&P500-49173588-215660412 ࡎᆴݦඔൌᆣࢲݔSMI-47156236-215660ࡼ۲ݓರ൬ၭੱބྐ༏ਙٳљࣉྛႮཬطնSSE-46118853-215660֥ஆਙN225-451351,ѩࡼૌၛu(x)ູሺᇠ,xູޘᇠؓႋఏ2-215660টATX-4413512-215660,ऎุྙೂ1bAEX-1614101-215660ܴҳഈඍྙॖၛؿགྷ,ෙಖ۲۱ྙᄝሹุMIBTEL-3217845-215660ഈྙሑႵ෮ҵၳ,൞ಪᆇܴҳॖၛؿགྷ,ᆃ۱ᆷඔ֥ྙࠎЧӯགྷّSྙሑbࣉ၂҄০ႨEviews510ೈࡱؓ൬ၭੱਙაі4 ۲ݓ൬ၭੱਙބྐ༏ਙ֥݂߭ࢲݔaAR2bBR2S&P500010104361140326301983736010107531107956901980547FSI010097571146453301984155010103231121937301996479SMI010098791153109201979944010103451122829601988624CAC40010119571149741501981790010124131123485401992236DAX010140391151457401975171010156781115637501972648SSE010154111107966101986091010141341115895501944040N225010133791115163701993905010138751106799101978881AEX010141481168145701982878010118101137797701998599MIBtel010098441145241501973600010099371116432001992125ATX010107181117749801934828010097791128486101982050 Ֆі4֥ࢲݔॖၛुԛ,۱ᆷඔ֥AaBᆴקྟ൬ၭᇏொݺభᆀ,૫ؓാൈ൞ڄག࿙,ࠧᄝ൞նႿ1,֥ࡎᆴݦඔྙᄝ൬ၭთ൞֥,ᄝಒקྟാა٤ಒקྟാᇏொݺުᆀ,෮ၛࡎᆴാთ൞χ,֥طؓႿ൬ၭބാ൞ૹۋྟ־ݦඔӯགྷSྙሑbᄹ֥,ࡎᆴݦඔྙӯགྷّSྙሑ,ᆃބࠎႿ1֥ಖطᄝܢௐ൧ӆഈ,ᆣಊࡎ֥۬ᄎྛა၂Ϯഅܴҩࢲݔ൞၂ᇁ֥bࡎ۬ᄎྛ҂bᄝ၂Ϯഅ൧ӆഈ,၂Ϯഅ֥KahnemanބTverskyࠣఃሔෛᆀಪ:ູሧࡎ,۬߶ෛሢ܂֥эطߌಡሢഅࡎᆴഈ༯ѯᆀ૫ؓ൬ၭൈ൞ڄག߭х,ࠧᄝಒקྟ൬ၭა٤ಒ,അ֥၂ൈݖ؇ླ߶֤ࡎ۬ۚႿఃࡎᆴ,ط
ֻ5௹ ໓ڌ֩:ܢௐ൧ӆࡎᆴݦඔൌᆣ࣮#11#1 ۲൬ၭੱਙაྐ༏ਙᆭࡗ֥ܱ༢
#12#ᇏݓܵ॓࿐ 2010୍ݖ֥ۚࡎ۬Ⴛ߶ၝᇅླ༯ࢆ,Ֆطࡎ۬߶ሱྛ༯[2]ޱᆦफ,ွօ1ࠎႿാညذ֥٤ཌྟሧቆކ໙ีࢆbಖط,ᄝܢௐ൧ӆഈ,ᆣಊࡎ֥۬ഈᅨ҂ࣇ҂߶[J].ᇏݓܵ॓࿐,2010,18(4):28-331ၝᇅّط߶ঔնؓھᆣಊ֥ླ,ᆣಊࡎ۬ࣉ၂[3]Odean,-҄ഈᅨses?[J].JournalofFinance,1998,53:1775-17981;طᆣಊࡎ۬༯ࢆ߶ࡨഒ൧ӆഈؓھᆣಊ֥ླေ,֝ᇁࡎ֥۬ࣉ၂҄༯ࢆb෮ၛ,ಪ്֞ᆃ၂ׄ[4]Odean, ࢲე32:101-1301Ч໓ࡼ۱ݓࡅܢௐ൧ӆሸކᆷඔರ൬ၭੱބ[13]Abdellaoui,M.,Bleichrodt,H.,Haridn,-ྐ༏ඔऌࢲކఏটؓభࣟં֥ࡎᆴݦඔᆰࢤࣉྛablemethodtomeasureutilityandlossaversionunderprospecttheory[J].JournalofRiskandUncertainty,ൌᆣ࣮bᆃक़ڛਔႨԩᇂིႨটࡗࢤᆣૼ֥ಌ2008,36:245-2661;ׄൈ,ބၛభ০Ⴈྏ࿐ൌဒؓభࣟં֥ဒ[14]Fennema,H.,vanAssen,ཌྷб,Ч໓֥࣮ٚمक़ڛਔၛభྏ࿐ൌဒ൳֥oflossesbymeansofthetrade-offmethod[J].Jour-ൌဒؓའaൌဒඔऌཋᇅ֩ಌׄbਸ਼ຓ,Ч໓ဢЧ֥nalofRiskandUncertainty,1998,17:277-2951ඔऌਈбࢠն,ඔऌ္҂൳ሧᆀ۱ದၹ֥႕ཙ,[15]Abdellaoui,-freeelicitationofutilityၹՎࢲݔ۷ࡆऎႵඪڛ৯bൌᆣࢲݔіૼ,Ֆ൧ӆandprobabilityweightingfunction[J].Managementᆜุط,۲ݓܢௐ൧ӆ֥ࡎᆴݦඔ൞ӯགྷّSScience,2000,46:1497-15121[16]Abdellaoui,M.,Vossmann,F.,Weber,-,ྙط؟ඔྏ࿐ൌဒᄵіགྷູ۱ุሧᆀ֥ࡎᆴݦඔӯགྷSbᆃඪૼՖ۱ุྛູ֞ಕุྛູᆭࡗbasedelicitationanddecompositionofdecisionweightsթᄝሢЧᇉྟ֥ҵၳforgainandlossunderuncertainty[J].Management,ࣉ၂҄ฐ෬ᆃᇕҵၳ,ࡼ൞၂۱٤ӈऎႵંބൌ࠽ၩၬ֥໙ีbScience,2005,51:1394-13991[17]Schunk,D.,Betsch,-tilityfunctionsbyindividualdifferencesindecisionҕॉ໓ངmodes[J].JournalofEconomicPsychology,2006,27::386-4011[1]Kahneman,D.,Tversky,:Ana-[18]Abdellaoui,M.,Barrios,C.,Wakker,[J].Econometrica,1979,introspectiveutilitywithrevealedpreference:Exper-i47:263-2911mentalargumentsbasedonprospecttheory[J].Jour-
ֻ5௹ ໓ڌ֩:ܢௐ൧ӆࡎᆴݦඔൌᆣ࣮#13#nalofEconometrics,2007,138:356-3781[24]ᅦྮৡ,ൎЧ,ਾவ.۱ุሧᆀི֥Ⴈݦඔ࣮[19]Wakker,P.,Deneffe,-[J].࠹აथҦ,2005,8:22-241Morgensternutilitieswhenprobabilitiesaredistortedor[25]ᄻࡹૹ1ൌဒဒࠒభࣟં[J].᳝ଲն࿐࿐Б:unknown[J].ManagementScience,1996,42:1131-ሱಖ॓࿐ϱ,2007,28(1):44-46111501[26]ޅ٦1ࠎႿKahnemanభࣟં֥ڄགܿхაڄག࿙[20]Booij,S.,VandeKuilen1AParameter-FreeAnalysisथҦ֥ଷࠏᇅ࣮[D].༆ν:ֻඹफ၄ն࿐ݴॢݴoftheUtilityofMoneyfortheGeneralPopulationun-฿၄࿐༢,2009:33-381derProspectTheory[R].CREE&SCHOLAR,Depar-[27]Wakker,P.,Zank,-founda-tmant1ofEconomics,UniversityofAmsterdam(ThetionofcumulativeprospecttheorywithpowerutilityNetherlands),20061[J].EuropeanEconomicReview,2002,46:1253-[21]Abdellaoui,M.,Bleichrodt,H.,Paraschiv,C..Meas-12711uringlossaversionunderprospecttheory:Aparameter[28]Jondeau,E.,Rockinger,-freeapproach[J].ManagementScience,2007,10:theTailsofStockMarketReturns[J].JournalofEm-1659-16741pericalFinance,2003,10:559-5811[22]Levy,M.,Levy,:Muchadoabout[29]Schmid,F.,Trede,,fatnothing?[J].ManagementScience,2002,10(48):tailandleptokurtosisbasedonquantiles[J].Computa-1334-13491tionalStatisticandDataAnalysis,2003,43:1-121[23]Baucells,M.,Heukamp,[30]Engle,F.,Ng,[J].ManagementSc-itheImpactofNewsonVolatility[J].JournalofF-ience,2006:1409-14231nance,1993,48:1779-18011EmpiricalStudyonValueFunctionsofStockMarketsWENFeng-hua1,3,RAOGu-itian1,YANGXiao-guang1,2,3(,ChangshaUniversityofScienceandTechaology,Changsha410004,China;,DecisionandInformationSystems,AcademyofMathematicsandSystemsSciences,ChineseAcadenyofSciences,Beijing100080,China;,Changsha,410004,China)Abstract:Asacorecomponentofprospecttheory,-makers1Inthispaper,takingawholestockmarketasanentireentity,weusetheflowofinformationextractedbyEGARCHModelastheproxyvariableofchangeinwealth,andthenuseatwo-stagepowerfunctionastherepresentationofthevaluefunctiontostudythedailyreturndatafromstockmarketof10countriesorregions1Empiricalresultsshowthatthevaluefunctionsofallthe10stockmarketspresenttheshapeofinverse-S,insteadoftheS-Shapeofvaluefunctiongeneratedbymostindividual-basedpsychologicalexperiments1Keywords:prospecttheory;valuefunction;pricevolatility;informationsequence
