i f i f

(disposition effect) 의확률 의확률

i f i f i f i f

i f i f

GARCH-in-Mean GARCH-in-Mean

, ( ) ( ). ( ), / ( ), (1 ), S&P500,,.

상승반응계수 로

~2008.12 15) ~ ~

m 10 20 (8) (10) (11) (8) (10) (11) 0.011 (0.23) 0.020 (0.40) 0.145 * (1.76) 0.011 (0.23) 0.007 (0.13) 0.123 (1.49) P t-1 0.035 (1.20) 0.039 (1.29) -0.044 (-1.48) 0.035 (1.20) 0.034 (1.13) -0.050 * (-1.68) P t-1*1 [ Pt-1>0] 0.041 (0.85) 0.002 (0.03) 0.128 (1.61) 0.041 (0.85) 0.061 (0.71) 0.217 *** (2.58) σ m,t-1* P t-1*1 [ Pt-1>0] 0.012 (0.58) -0.029 (-1.43) -0.007 (-0.28) -0.062 *** (-2.60) t-1-0.221 *** (-6.42) t-1-0.021 ** (-2.36) t-1 0.454 *** (17.55) -0.231 *** (-6.70) -0.020 ** (-2.29) 0.456 *** (17.63) 1 (1997.10~1999.2) 2 (2002~2004) 3 (2007.8~2008) 0.104 (0.81) -0.108 (-1.26) -0.103 (-0.94) 0.131 (1.01) -0.107 (-1.27) -0.089 (-0.81) 3,150 3,150 3,150 3,150 3,150 3,150 F- 5.65 *** 3.88 *** 40.90 *** 5.65 *** 3.79 *** 41.48 *** R 2 0.003 0.003 0.102 0.003 0.003 0.104 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 30 60 (8) (10) (11) (8) (10) (11) 0.011 (0.23) 0.018 (0.35) 0.138 * (1.66) 0.011 (0.23) 0.023 (0.46) 0.159 * (1.92) P t-1 0.035 (1.20) 0.038 (1.27) -0.045 (-1.52) 0.035 (1.20) 0.039 (1.33) -0.039 (-1.32) P t-1*1 [ Pt-1>0] 0.041 (0.85) 0.007 (0.08) 0.166 * (1.90) 0.041 (0.85) -0.027 (-0.28) 0.092 (0.98) σ m,t-1* P t-1*1 [ Pt-1>0] 0.012 (0.45) -0.046 * (-1.76) 0.025 (0.82) -0.021 (-0.69) t-1-0.223 *** (-6.49) t-1-0.020 ** (-2.31) t-1 0.455 *** (17.58) -0.215 *** (-6.25) -0.021 ** (-2.36) 0.453 *** (17.51) 1 (1997.10~1999.2) 2 (2002~2004) 3 (2007.8~2008) 0.119 (0.92) -0.106 (-1.25) -0.098 (-0.89) 0.100 (0.76) -0.106 (-1.25) -0.112 (-1.02) 3,150 3,150 3,150 3,150 3,150 3,150 F- 5.65 *** 3.83 *** 41.03 *** 5.65 *** 3.99 *** 40.70 *** R 2 0.003 0.003 0.103 0.003 0.003 0.102 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 10 20 30 60-0.044-0.050 * -0.045-0.039 0.084 0.167 ** 0.121 0.053-0.029-0.062 *** -0.046 * -0.021 0.128 0.217 *** 0.166 * 0.092 F 40.90 *** 41.48 *** 41.03 *** 40.70 *** δ t-1 =γ 2 +λ 0 σ t-1 낮은변동성 σ* 높은변동성 변동성 0.2 0.1 수량적기준점효과 (A) 외환위기글로벌금융위기 상승반응계수 (A+B) 0 95 96 97 98 99 00 01 02 03 04 05 06 07 08-0.1-0.2 처분성향효과 (B) -0.3-0.4 시기

~2008

m 6 12 0.068 (8) (10) (11) (8) (10) (11) (1.62) P t-1 0.897 *** (11.47) P t-1*1 [ Pt-1>0] -0.170 (-1.53) 0.067 (1.56) 0.896 *** (11.39) -0.146 (-0.86) σ m,t-1* P t-1*1 [ Pt-1>0] -0.040 (-0.19) 0.396 *** (3.88) 0.624 *** (5.76) 0.046 (0.25) -0.003 (-0.02) t-1 0.011 (0.71) t-1-0.010 (-1.21) t-1 0.027 (0.39) t-1-0.040 *** (-3.78) t-1-0.378 ** (-2.52) t-1 0.010 1 (1997.10~1999.2) 2 (2002~2004) 3 (2007.8~2008) (1.32) 0.183 (1.04) -0.045 (-0.44) -0.105 (-0.81) 0.068 (1.62) 0.897 *** (11.47) -0.170 (-1.53) 0.062 (1.46) 0.892 *** (11.40) 0.007 (0.04) -0.274 (-1.31) 0.375 *** (3.65) 0.632 *** (5.83) 0.162 (0.90) -0.203 (-0.94) 0.011 (0.75) -0.010 (-1.25) 0.032 (0.46) -0.039 *** (-3.62) -0.387 ** (-2.52) 0.010 (1.30) 0.194 (1.10) -0.020 (-0.20) -0.110 (-0.86) 215 215 215 215 215 215 F- 183.67 *** 121.90 *** 34.49 *** 183.67 *** 123.43 *** 34.71 *** R 2 0.631 0.629 0.653 0.631 0.632 0.654 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 24 36 (8) (10) (11) (8) (10) (11) 0.068 (1.62) 0.064 (1.52) 0.351 *** (3.55) 0.068 (1.62) 0.069 (1.64) 0.363 *** (3.58) P t-1 0.897 *** (11.47) 0.893 *** (11.52) 0.643 *** (5.95) 0.897 *** (11.47) 0.897 *** (11.58) 0.645 *** (5.96) P t-1*1 [ Pt-1>0] -0.170 (-1.53) 0.112 (0.67) 0.244 (1.41) -0.170 (-1.53) 0.134 (0.77) 0.259 (1.45) σ m,t-1* P t-1*1 [ Pt-1>0] -0.392 ** (-2.22) -0.308 * (-1.71) -0.440 ** (-2.26) -0.338 * (-1.72) t-1 0.012 (0.82) 0.011 (0.73) t-1-0.011 (-1.29) -0.011 (-1.28) t-1 0.039 (0.57) 0.041 (0.59) t-1-0.037 *** (-3.41) -0.037 *** (-3.47) t-1-0.372 ** (-2.43) -0.359 ** (-2.34) t-1 0.010 (1.37) 0.010 (1.36) 1 (1997.10~1999.2) 0.180 (1.04) 0.162 (0.93) 2 (2002~2004) -0.008 (-0.08) -0.024 (-0.25) 3 (2007.8~2008) -0.082 (-0.64) -0.101 (-0.79) 215 215 215 215 215 215 F- 183.67 *** 126.37 *** 35.22 *** 183.67 *** 126.51 *** 35.24 *** R 2 0.631 0.637 0.657 0.631 0.638 0.658 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 6 12 24 36 0.624 *** 0.632 *** 0.643 *** 0.645 *** 0.670 *** 0.794 *** 0.887 *** 0.904 *** -0.003-0.203-0.308 * -0.338 * 0.046 0.162 0.244 0.259 F 34.49 *** 34.71 *** 35.22 *** 35.24 *** 1.2 0.9 외환위기 수량적기준점효과 (A) 글로벌금융위기 0.6 상승반응계수 (A+B) 0.3 처분성향효과 (B) 0 1991 1993 1995 1997 1999 2001 2003 2005 2007-0.3-0.6 시기

m 6 12 (8) (10) (11) (8) (10) (11) 0.126 ** (2.12) 0.123 ** (2.02) 0.510 *** (3.50) 0.126 ** (2.12) 0.116 * (1.92) 0.483 *** (3.30) P t-1 0.907 *** (10.16) 0.904 *** (10.07) 0.640 *** (5.23) 0.907 *** (10.16) 0.900 *** (10.07) 0.650 *** (5.31) P t-1*1 [ Pt-1>0] -0.222 * (-1.83) -0.179 (-1.02) 0.034 (0.18) -0.222 * (-1.83) -0.040 (-0.22) 0.134 (0.70) σ m,t-1* P t-1*1 [ Pt-1>0] -0.052 (-0.34) -0.046 (-0.29) -0.200 (-1.29) -0.170 (-1.05) t-1 0.016 (0.78) 0.018 (0.84) t-1-0.007 (-0.64) -0.008 (-0.67) t-1 0.010 (0.10) 0.014 (0.14) t-1-0.049 *** (-3.23) -0.047 *** (-3.10) t-1-0.390 * (-1.82) -0.380 * (-1.77) t-1 0.021 * (1.90) 0.020 * (1.86) 1 (1997.10~1999.2) 0.205 (0.83) 0.221 (0.89) 2 (2002~2004) 0.001 (0.00) 0.031 (0.22) 3 (2007.8~2008) -0.171 (-0.94) -0.170 (-0.94) 215 215 215 215 215 215 F- 152.20 *** 101.08 *** 28.17 *** 152.20 *** 102.34 *** 28.39 *** R 2 0.586 0.584 0.604 0.586 0.587 0.606 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 24 36 (8) (10) (11) (8) (10) (11) 0.126 ** (2.12) 0.119 ** (2.00) 0.464 *** (3.14) 0.126 ** (2.12) 0.125 ** (2.11) 0.481 *** (3.31) P t-1 0.907 *** (10.16) 0.902 *** (10.15) 0.661 *** (5.38) 0.907 *** (10.16) 0.901 *** (10.20) 0.660 *** (5.37) P t-1*1 [ Pt-1>0] -0.222 * (-1.83) 0.005 (0.03) 0.148 (0.83) -0.222 * (-1.83) -0.002 (-0.01) 0.137 (0.76) σ m,t-1* P t-1*1 [ Pt-1>0] -0.224 * (-1.85) -0.172 (-1.38) -0.230 * (-1.79) -0.164 (-1.26) t-1 0.018 (0.85) 0.016 (0.79) t-1-0.008 (-0.70) -0.008 (-0.69) t-1 0.022 (0.23) 0.023 (0.24) t-1-0.045 *** (-2.93) -0.046 *** (-2.99) t-1-0.357 * (-1.66) -0.351 (-1.63) t-1 0.021 * (1.96) 0.021 * (1.94) 1 (1997.10~1999.2) 0.194 (0.79) 0.177 (0.72) 2 (2002~2004) 0.027 (0.20) 0.006 (0.04) 3 (2007.8~2008) -0.144 (-0.79) -0.162 (-0.89) 215 215 215 215 215 215 F- 152.20 *** 103.78 *** 28.57 *** 152.20 *** 103.60 *** 38.50 *** R 2 0.586 0.590 0.607 0.586 0.590 0.607 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 6 12 18 24 0.640 *** 0.650 *** 0.661 *** 0.660 *** 0.674 *** 0.784 *** 0.809 *** 0.797 *** -0.046-0.170-0.172-0.164 0.034 0.134 0.148 '0.137 F 28.17 *** 28.39 *** 28.57 *** 38.50 ***

m 6 12 (8) (10) (11) (8) (10) (11) 0.603 (0.65) 0.851 (0.89) 1.002 (0.58) 0.603 (0.65) 0.935 (0.97) 0.912 (0.53) P t-1 0.183 (1.40) 0.205 (1.55) 0.079 (0.54) 0.183 (1.40) 0.212 (1.61) 0.094 (0.65) P t-1*1 [ Pt-1>0] -0.107 (-0.52) -0.413 (-1.19) -0.420 (-1.27) -0.107 (-0.52) -0.463 (-1.37) -0.342 (-1.06) σ m,t-1* P t-1*1 [ Pt-1>0] 0.029 (1.09) 0.055 ** (1.98) 0.029 (1.34) 0.039 * (1.72) t-1 0.306 (1.11) 0.263 (0.96) t-1 0.790 *** (4.92) 0.761 *** (4.78) t-1 0.214 (0.17) 0.219 (0.17) t-1-0.088 (-0.57) -0.070 (-0.44) t-1 6.653 ** (2.60) 6.941 *** (2.71) t-1 0.274 * (1.71) 0.246 (1.54) 1 (1997.10~1999.2) -9.926 *** (-2.87) -9.790 *** (-2.82) 2 (2002~2004) -1.050 (-0.60) -1.006 (-0.57) 3 (2007.8~2008) -4.661 ** (-1.99) -4.569 * (-1.95) 215 215 215 215 215 215 F- 1.82 1.61 3.68 *** 1.82 1.82 3.58 *** R 2 0.011 0.009 0.131 0.011 0.011 0.127 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 24 36 (8) (10) (11) (8) (10) (11) 0.603 (0.65) 0.837 (0.88) 0.901 (0.52) 0.603 (0.65) 0.710 (0.75) 0.986 (0.57) P t-1 0.183 (1.40) 0.204 (1.55) 0.089 (0.60) 0.183 (1.40) 0.192 (1.46) 0.072 (0.49) P t-1*1 [ Pt-1>0] -0.107 (-0.52) -0.456 (-1.26) -0.048 (-0.13) -0.107 (-0.52) -0.350 (-0.90) 0.244 (0.61) σ m,t-1* P t-1*1 [ Pt-1>0] 0.030 (1.18) 0.010 (0.40) 0.023 (0.73) -0.017 (-0.54) t-1 0.268 (0.97) 0.276 (1.00) t-1 0.728 *** (4.57) 0.736 *** (4.61) t-1 0.251 (0.19) 0.134 (0.10) t-1-0.098 (-0.62) -0.121 (-0.76) t-1 7.094 *** (2.73) 7.450 *** (2.87) t-1 0.247 (1.53) 0.264 (1.63) 1 (1997.10~1999.2) -8.296 ** (-2.45) -8.296 ** (-2.45) 2 (2002~2004) -1.206 (-0.68) -1.347 (-0.76) 3 (2007.8~2008) -4.632 * (-1.95) -4.871 ** (-2.05) 215 215 215 215 215 215 F- 1.82 1.68 3.30 *** 1.82 1.39 3.32 *** R 2 0.011 0.010 0.114 0.011 0.006 0.115 : 1) ( ) t- 2) ***, **, * 1%, 5%, 10%

m 6 12 24 36 0.079 0.094 0.089 0.072-0.341-0.248 0.041 0.316-0.055 * -0.039 * -0.010 0.017-0.420-0.342-0.048 0.244 F 3.68 *** 3.58 *** 3.30 *** 3.32 ***