Abstract

This paper focuses on investors’ different behavioral biases in China’s segmented stock markets and investigates the correlation between average holding periods, stock returns and investors’ disposition effect between 2010 and 2014. The results show that the disposition effect is prevalent in A-share market but is very weak in Growth Enterprise market and there is a lack of evidence to support the existence of disposition effect in B-share market. The study supports the view that investors’ experience and sophistication can partly help reduce investors’ behavioral biases in stock markets. It also indicates that investors in A-shares market prefer to hold stocks with larger market capitalization for longer periods, while investors of B-shares markets and Growth Enterprise market do not reveal a specific preference for market capitalization.

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