Identification and application of investors’ risk appetite-based on the analysis of risk allocation of China multi-layer capital market system
Xiaoyuan Geng1, Yongde Wang1
1School of Accountancy, HeiLongjiang Bayi Agricultural University, Daqing, 163319, China
In order to measure investors' risk appetite more accurately, from the focus on the investors’ demand for the capital market, this article deduces the utility level of investors in the capital market by the inverse of the investor demand (only when the demand function satisfies integrablility, then it will be deduced the utility function inversely), and thus measure and identify the investors' risk appetite. While based on this theory approach, the paper empirically analyses the risk allocation of China multi-layer capital market, and the results show that: risk allocation of China multi-layer capital market system is non Pareto efficient, the risk allocation of each market does not meet the structure of multi-layer capital market established, but these problems can be improved by adjusting the market trading mechanisms.