Research on A-Share Industry Sector Changes Based on Prospect Theory——Starting from the Asymmetric Reaction Caused by the Change of Repo Interest Rate

DOI

10.2991/978-94-6239-801-6_45How to use a DOI?

Keywords

DR007; Industry Allocation Intensity; Duration of Equity; Prospect Theory; Asymmetric Reaction

Abstract

This paper discusses the impact mechanism and transmission path of short-term liquidity pressure on the allocation intensity of A-share industry. In view of the inevitable pricing passivation of the traditional long-term interest rate index in the increasingly complex environment of the equity market, this paper establishes Depository Repurchase Rate 007 (DR007) as the core explanatory variable, and selects the semiconductor (long-term) and bank (short-term) industries with the opposite characteristics of “equity duration” as the observation objects of allocation intensity. By constructing the regression equation, the explanatory variables are introduced into analysis. At the same time, the empirical analysis based on the prospect theory shows that DR007 has stronger pricing sensitivity and explanatory power than the traditional risk-free interest rate. The study found that investors showed significant asymmetric position adjustment behavior in the “loss range” caused by liquidity contraction, and loss aversion amplified the intensity of capital switching from high duration to low duration industries, leading general market investors to make more drastic position adjustments in the face of slight interest rate changes, causing frequent capital flows and exchanges between different industry sectors.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yiwei Yang
PY  - 2026
DA  - 2026/10/23
TI  - Research on A-Share Industry Sector Changes Based on Prospect Theory——Starting from the Asymmetric Reaction Caused by the Change of Repo Interest Rate
BT  - Proceedings of the 2026 2nd International Conference on Financial Innovation and Marketing Management (FIMM 2026)
PB  - Atlantis Press
SP  - 416
EP  - 424
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-801-6_45
DO  - 10.2991/978-94-6239-801-6_45
ID  - Yang2026
ER  -