Investor behavior heterogeneity in the French stock market

Rania Guirat ()
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Rania Guirat: Economix Université Paris Ouest Nanterre La Défense

Economics Bulletin, 2011, vol. 31, issue 2, 1827-1836

Abstract: We estimate in this paper a non probabilistic Markovien model of stock prices with an evolutionary selection of heterogeneous strategies. It is a model proposed by Brock and Hommes (1997, 1998) and improved later by Boswijk and al. (2007). Indeed, the latter propose one of the few estimations considering stock markets data, characterized by an evolutionary selection procedure of heterogeneous strategies. They estimate the model to annual US stock price data from 1871 to 2003. In this paper, we chose to proceed by estimation concerning 27 companies from the CAC 40 and the composite index corresponding to these 27 companies to avoid the risk of an average effect on adding these stocks. In addition, the strategy adopted by an investor can depend on his investment horizon and to verify this assumption we chose daily, monthly and quarterly data.

Keywords: heterogeneous expectations; bounded rationality; behavioural finance; evolutionary selection; stock market; nonlinearities; chartists and fundamentalists (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2011-06-22
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