Research on the Long Memory of Investors´ Irrational Behavior in China Fund Market Based on Wavelet Theory

For investors´ irrational behavior, this paper selected log yield of the Fund Index in Shanghai Exchange as sample from May 10th in 2000 to June 30th in 2009. By behavioral finance and wavelet theory, we took index yield series of China Fund Market as research object and made empirical analysis on the long memory of investors´ irrational behavior in China Fund Market. The research design allows us to follow the irrational behavior of fund market from the start of investing life. We found irrational behavior time series extracted by wavelet had their own characteristics. This meant that levels of information bias for investors were different. The results are robust to alternative explanations including feedback trading and frequency observation.