中国居民投资偏好变化的实证分析——基于期望效用与二阶随机占优理论

摘要笔者利用合期望效用理论与二阶随机占优理论,选取2000年～2011年的彩票、存款、股票等数据样本,对中国居民投资偏好变化规律进行剖析,结果发现当前中国居民投资日趋理性,风险偏好呈现出“风险中性占主导;风险偏好居中;风险回避减弱”的现象,进而指出需要完善和规范资本市场的重要性。

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	李新光
	胡日东
	陈家干

关键词：偏好期望效用理论二阶随机占优理论风险

Abstract： With the growth of Chinese residents wealth, the ability against the risk of Chinese residents is also increasing. Does the Chinese residents’ investment psychology also follow this rule? Based on this point, this paper applies the expected utility theory and second stochastic dominance theory, by using the sample of lottery, deposit and stock datum between 1994-2011, to analyze the changes of Chinese residents’ investment preference .At last ,we draw a conclusion that the current Chinese household investment is more rational. Then we summarize a phenomenon of risk preference that is “risk neutral is dominant; risk preference is central; risk avoidance is weakened”. At last we point out the importance of improving and standardizing the capital market.

Keywords： Preference Expected Utility Theory Second Stochastic Dominance Theory Risk

收稿日期 2014-11-14; 接受日期 2014-11-14;

基金资助:教育部人文社会科学研究规划基金项目(11JYA790048); 福建省教育厅项目(JA11273S)

作者简介: 李新光(1980－),男,湖南娄底人,华侨大学经济与金融学院博士生,武夷学院商学院讲师,主要从事宏观经济研究;胡日东(1964－),男,福建永定人,华侨大学经济与金融学院教授、博士生导师,主要从事宏观经济研究。

引用本文:

李新光, 胡日东, 陈家干.中国居民投资偏好变化的实证分析——基于期望效用与二阶随机占优理论[J]. 经济经纬, 2014,6: 137-142

LI Xin-guang, HU Ri-dong, CHEN Jia-gan.An Empirical Analysis on the Change of Chinese Household Investment Preferences ——Based on Expected Utility and the Second Stochastic Dominance Theory[J] Economic Survey, 2014,V31(6): 137-142

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2014/V31/I6/137