Magdalena Osińska , Michał Bernard Pietrzak , Mirosława Żurek
ARTICLE

(Polish) PDF

ABSTRACT

In the paper we attempt to explain the impact of psychological factors on propensity for risk and the level of expected return exhibited by individual investors active on the Stock Exchange in Warsaw. The article aims at identification and description of the relationship between unobservable factors such as behavioral inclinations, propensity for risk, ability to use technical analysis as well as market quality with application of Structural Equation Model. The hypothesis was put that behavioral inclinations such as errors in the opinions and preferences cause an increase in individual propensity for risk as well as the increase in the level of expected and satisfactory return. It was also assumed that investors that properly use technical analysis in their decision-making process are less sensitive for behavioral inclinations than the others. The results of estimation of the model allowed for identification of the unobservable psychological factors and confirmed the impact of the defined factors for the increase of individual propensity for risk.

KEYWORDS

structural equations model (SEM), behavioral finance, behavioral inclinations, propensity for risk, bootstrap analysis

REFERENCES

[1] Barberis N., Shleifer A., Vishny R. (1998), A model of investor sentiment, Journal of Financial Economics, 49.

[2] Bollen K. A (1989), Structural Equations with Latent Variables, Wiley.

[3] Bollinger J. (1985), The Capital Growth Letter, Research and Market.

[4] Brown T.A. (2006) , Confirmatory Factor Analysis for Applied Research, Guilford Press.

[5] Brzeziński J. (1996), Metodologia badań psychologicznych (Część V). PWN Warszawa.

[6] Byrne B.M. (2010), Structural equation modeling with AMOS: Basic concepts, applications, and programming (2nd ed.), Routledge/Taylor & Francis, New York.

[7] Cronbach L.J. (1951), Coefficient alpha and the internal structure of tests, Psychometrika, 16(3), 297-334.

[8] Czerwonka M., Gorlewski B. (2008), Finanse behawioralne. Zachowania inwestorów i rynku, SGH, Warszawa.

[9] Daniel K., Hirshleifer D., Subrahmanyam A. (1997), A theory of overconfidence, self-attribution, and security market under- and over-reactions. Unpublished working paper. University of Michigan.

[10] Doman M. (2011), Mikrostruktura giełd papierów wartościowych. Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu.

[11] Dziawgo D., Gajewska-Jedwabny A. (2006), Relacje inwestorskie – nowoczesna komunikacja spółek z rynkiem, CEO Magazyn Top Menagerów, kwiecień 2006.

[12] Dziawgo D. (2009), Idea zrównoważonego rozwoju w relacjach inwestorskich, w: Sidorczuk-Pietraszko E. (red.), Funkcjonowanie przedsiębiorstw w warunkach zrównoważonego rozwoju i gospodarki opartej na wiedzy, WSE, Białystok.

[13] Efron B. (1979), Bootsrap methods: Another look at the jackknife, Annals of Statistic no. 710.

[14] Gatnar E. (2003), Statystyczne modele struktury przyczynowej zjawisk ekonomicznych, Akademia Ekonomiczna, Katowice.

[15] Goldberg J., Von Nitzsch R. (2001), Behavioral Finance, New York.

[16] Hong H., Stein J.C (1999), A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets, Journal of Finance, 54, 2143-2184.

[17] Kahneman D., Tversky A. (1979), Prospect Theory: An Analysis of Decision under Risk, Econometrica, XLVII, 263-291.

[18] Kaplan D. (2000), Structural Equation Modeling: Foundations and Extensions, Sage Publications.

[19] Kotz S., Johnson N.I. (1992), Breakthrough in statistics, Springer-Verlag, New York.

[20] Konarski R. (2010), Modele równań strukturalnych. Teoria i praktyka., PWN, Warszawa.

[21] Lakonishok J, Shleifer A, Vishny R.W. (1994), Contrarian Investment, Extrapolation, and Risk, Journal of Finance, 4.

[22] Likert R.(1932), Technique for the Measurement of Attitudes, Archives of Psychology, 140, 55.

[23] Loehlin J.C. (1987), Latent variable models: An introduction to factor, path and structural analysis, Erlbaum.

[24] Long J. B., Shleifer A., Summers L.H., Waldmann R.J. (1990), Noise Trader Risk in Financial Markets, Journal of Political Economy, University of Chicago Press, 98(4), 703-738.

[25] Maginn J.L., Tuttle D.L., McLeavey D.W., Pinto J.E. (2007), Managing investment portfolios workbook, John Wiley & Sons, New Jersey.

[26] Merrill Lynch, The Whitepapers, 2008.

[27] Niedziółka D.A. (2008), Relacje inwestorskie, PWN, Warszawa.

[28] Osińska M. (2008), Ekonometryczna analiza zależności przyczynowych, Uniwersytet Mikołaja Kopernika, Toruń.

[29] Osińska M., Pietrzak M., Żurek. (2011), Wykorzystanie modeli równań strukturalnych do opisu psychologicznych mechanizmów podejmowania decyzji na rynku kapitałowym, Acta Universitatis Nicolai Copernici – Ekonomia, w druku

[30] Pearl J. (2000), Causality. Models, reasoning and inference, Cambrige.

[31] Profil inwestora giełdowego w 2010 r. Raport SII na temat Ogólnopolskiego Badania Inwestorów w 2010, http://www.sii.org.pl/static/img/004235/RaportOBI2010m.pdf

[32] Shleifer A. (2000), Inefficient Markets: An Introduction to Behavioral Finance and the Psychology of Investing. Financial Management Association, Harvard Business School Press, Boston.

[33] Tarczyński W. (1997), Rynki kapitałowe. Metody ilościowe, tom I i II, Placet, Warszawa.

[34] Tyszka T. (2004), Psychologia Ekonomiczna, GWP, 2004.

[35] Wang X. L., Shi K., Fan H. X. (2006), Chinese Stock Markets, psychological mechanisms, investment behaviors, risk perception, individual investors, „Journal of Economic Psychology”, 27(6), 762-780.

[36] Zaleśkiewicz T. (2003), Psychologia inwestora giełdowego. Wprowadzenie do behawioralnych finansów, Gdańskie Wydawnictwo Psychologiczne, Gdańsk.

[37] Zielonka P. (2006), Behawioralne aspekty inwestowania na rynku papierów wartościowych, CeDeWu, Warszawa

Back to top
Copyright © 2019 Statistics Poland