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Estimating heterogeneous agents behavior with different investment horizons in stock markets

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  • Chen, Zhenxi

Abstract

In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different investment horizons exist in al the markets. Regressions based on all the investment horizons produce better fitted results. Different markets can be characterized by different agents and different investment horizons. Ignorance of the heterogeneity of investment horizon may generate biased results due to the concern of omitting variables.

Suggested Citation

  • Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    • Handle: RePEc:zbw:fmpwps:5
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    More about this item

    Keywords

    Investment horizon; Heterogeneous agents; Evolutionary selection; Behavioral finance;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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