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Seasonality and Investment Biases Analysis

This document contains summaries of two papers by Priya Kansal exploring seasonality effects in the Chinese stock market and how irrational investment decisions vary with income. For the first paper, statistical tools like t-tests are used to test for day of week and monthly effects. For the second paper, tools like ANOVA, chi-square, and Kruskal-Wallis tests are used to analyze the relationship between income and factors like overconfidence, self-attribution biases, overreaction, framing effects, reference points, and loss avoidance. The papers analyze stock market data and survey results from different income groups of investors.

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Priya Kansal
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5 views7 pages

Seasonality and Investment Biases Analysis

This document contains summaries of two papers by Priya Kansal exploring seasonality effects in the Chinese stock market and how irrational investment decisions vary with income. For the first paper, statistical tools like t-tests are used to test for day of week and monthly effects. For the second paper, tools like ANOVA, chi-square, and Kruskal-Wallis tests are used to analyze the relationship between income and factors like overconfidence, self-attribution biases, overreaction, framing effects, reference points, and loss avoidance. The papers analyze stock market data and survey results from different income groups of investors.

Uploaded by

Priya Kansal
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd

Assignment -2

Supervisor Dr. (Mrs. Seema Singh) HOD Department of Humanities

By Priya Kansal (2K11/PhD/Hu-03) Department of Humanities

PAPER :1: Does Seasonality Effect Exist in Chinese Stock Market


Hypothesis Setting: Two null hypothesis has been in this paper.
Ho1 : There is no effect of the day of a week on average returns i.e. no day of week effect exist. HA1: There is a difference in average returns on the different day of the week i.e. day of week effect exist. Ho2 : There is no effect of different month on average returns i.e. January effect does not exist. HA2 : There is a difference in average returns on the different month of the year i.e. January effect exist.

Statistical Tools used:


t- test: to test the significance of the difference between average returns. The formula is: T= ((X1-X2)-(1-2))Sp [(1/n1)+(1/n2)] Where Sp=( n1S1+n2S2)(n1+ n2 -2) Significant level is 5% Sample are: Average Returns on Monday and average returns of other week day Average Returns on Tuesday and average returns of other week day . . Average Returns on Friday and average returns of other week day
2
2

Paper- 2: Does Irrationality in Investment Decisions Vary with Income?


Hypothesis Setting: Two null hypothesis has been in this paper.
Ho1 : There is no effect of the income on overconfidence in investment of investors. HA1: Income and overconfidence is correlated Ho2 : Self attribution to the wrong investment is not related to income. HA2 : Self attribution is related to income. Ho3 : Overreaction to the market news is not related to income. HA3 : Overreaction to the market news is related to income. Ho4: Framing effect is not significantly varies among investors of different income group. HA4: Framing effect significantly varies among investors of different income group.

Ho5: Use of purchase price as reference point does not vary with income group. HA5: Use of purchase price as reference point varies with income group. Ho6: Different income groups do not have different loss avoidance/ regret.
HA6: Different income groups have different loss avoidance/ regret.
Note: Two Self attribution biases : Badluck and Mistake. People who attributed `bad luck' for their wrong decisions tend to have the self-attribution bias.

Statistical Tools Used:


To test Ho1 , one way ANOVA is used. Parameters are different level of confidence; different observation has been collected for different income group. To test Ho2 , Chi- Square Test is used. Parameters are tendency of investors for attributing the bad investors viz. mistake and badluck; different observation has been collected for different income group.

To test Ho3 , Kruskal-Wallis test was applied to study the relationship between overreaction to chance events and income of investors. To test Ho4 , Chi Square Test is used. Three parameters has been set: shift from sure to risky alternative, unchanged, shift from risky to sure alternative; different observations has been collected for different income group.

To test Ho5 , Chi Square Test is used. Two parameters i.e. purchased at price lower than current price and purchased ar price higher tan current price has set. To test Ho6 , Chi Square Test is used. Loss avoidance is measured with two parameters viz. share value is increased when share is sold even for the sake of liquidity and share value is decreased when share is sold.

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