The effects of the Global Financial Crisis on the stock holding decisions of Australian households

摘要

The effects of financial crises on the stock market participation and portfolio allocation decisions of Australian households are studied, with special emphasis on the 2008 Global Financial Crisis. An important feature of the empirical model is that the stock holding decisions of households are determined by experienced returns, defined as a weighted sum of past stock market returns over the life of a household, with the weights varying between crisis and non-crisis periods. The empirical results provide strong evidence that financial crises cause households to become more myopic, increase their responsiveness to shocks and focus more on past extreme returns. These results also help to explain differences in the estimates reported for the U.S. and Europe using comparable models but which do not allow for time-variation in the parameters. There is also evidence that older households are more responsive than younger households during financial crises, while high wealth households are less affected by crises.