Linkages of investor risk preferences in the Chinese and US stock markets: A perspective from risk-return relationship

被引：0
|
作者：
He Z. [1 ]
Dong T. [1 ]
机构：
[1] School of Business, Jiangnan University, Wuxi
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2023年 / 43卷 / 09期
关键词：
GARCH-M; risk preference; the Chinese and US stock markets; TVP-VAR;
D O I：
10.12011/SETP2022-2637
中图分类号：
学科分类号：
摘要：
The risk preference of investors in stock markets can be reflected by the return compensation required by investors for risk-taking, which refers to the risk-return relationship in stock markets. This paper takes the Chinese and US stock markets as research objects, and captures the investors’ risk preferences of the Chinese and US stock markets based on the time-varying parameter generalized autoregressive conditional heteroskedasticity in the mean (TVP-GARCH-M) model. Then, the causality relationship between investors’ risk preferences of Chinese and American investors is investigated by Granger causality tests. It is found that changes in investors’ risk preferences in the US stock market can cause changes in investors’ risk preferences in the Chinese stock market, while investors’ risk preferences in the Chinese stock market cannot affect those in the US stock market. Furthermore, the time-varying parameter vector auto regression (TVP-VAR) model is used to explore the impact of the investors’ risk preference in the US stock market on that in the Chinese stock market. The results show that investors’ risk preference in the US stock market has a significant negative impact on the investors’ risk preference in the Chinese stock market, and the impact shows obvious time-varying characteristics. The short-term impact is greater than the medium-term and long-term impacts. Meanwhile, the impact also varies at different time points and is the largest during the US-China conflict in 2018, indicating that the 2018 US-China conflict plays a significant role in the comovement of investor risk preferences in the Chinese and US stock markets. © 2023 Systems Engineering Society of China. All rights reserved.
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页码：2556 / 2569
页数：13
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