Market risk aversion under volatility shifts: An experimental study
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Otros documentos de la autoría: Aragó, Vicent; Barreda-Tarrazona, Iván; Breaban, Adriana; Matallín Sáez, Juan Carlos; Salvador, Enrique
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
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Título
Market risk aversion under volatility shifts: An experimental studyAutoría
Fecha de publicación
2022-03-15Editor
ElsevierISSN
1059-0560Cita bibliográfica
Aragó, V., Barreda-Tarrazona, I., Breaban, A., Matallín, J. C., & Salvador, E. (2022). Market risk aversion under volatility shifts: An experimental study. International Review of Economics & Finance, 80, 552-568.Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the ... [+]
We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility of the fundamentals is controlled and exogenously manipulated. Then we analyze the participation and trading behavior of participants under different volatility states. We observe a decrease in the market risk aversion during high volatility periods. In these periods, relatively more risk-averse investors do not participate in the risky market while less risk-averse investors trade. The individual risk aversion level of agents does not change during the experiment which leads us to conclude that the changes in market risk aversion during high volatility periods are mainly due to a participation effect. [-]
Publicado en
International Review of Economics & Finance. Volume 80, July 2022, Pages 552-568Entidad financiadora
Universitat Jaume I | Ministerio de Economía, Industria y Competitividad | Ministerio de Ciencia, Innovación y Universidades
Código del proyecto o subvención
UJI-B2021-23 | UJI-B2020-48 | ECO2014-55221-P | ECO2017-85746-P | RTI2018-096927-B-I00 | PID2020-115450GB-100
Derechos de acceso
info:eu-repo/semantics/openAccess
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