Condiciones del mercado, sentimiento del inversor y efecto de disposición. Estudio empírico basado en el mercado bursátil chino

Market conditions, investor sentiment and disposition effect. An empirical study based on China's stock market


Palabras clave: Efecto de disposición, Sentimiento del inversor, Expectativa irracional, Negociación especulativa


Utilizando los datos de transacciones del mercado de valores y los datos financieros de las empresas cotizadas de 2003 a 2021 en China, exploramos la forma de existencia del efecto de disposición. A continuación, combinamos el proceso de aprendizaje bayesiano con el modelo DSSW para investigar el tamaño y el rendimiento del efecto de disposición cuando las condiciones del mercado difieren de las creencias irracionales de los inversores. En China, el efecto de disposición tiene forma de V asimétrica y una correlación negativa significativa con el sentimiento de los inversores. Además, afectado por el sentimiento, su rendimiento es opuesto en el mercado alcista y en el mercado bajista. La investigación y las conclusiones anteriores tienen importancia teórica y práctica para comprender el efecto de disposición, optimizar la toma de decisiones de los inversores y reforzar la infraestructura del mercado de capitales.


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Cómo citar
Yang, L., & Yang, P. (2024). Condiciones del mercado, sentimiento del inversor y efecto de disposición. Estudio empírico basado en el mercado bursátil chino: Market conditions, investor sentiment and disposition effect. An empirical study based on China’s stock market. Revista de Contabilidad - Spanish Accounting Review, 27(2), 260–274.