赌资效应(House Money Effect)是指前期收益会使投资者变得更加风险寻求。与以往基于心理学实验或投资者个人交易账户数据所进行的实证研究不同,本文以股票市场整体行为为研究对象,采用世界上具有代表性的十四支股票综合指数为样本,构建TVRA-GARCH-M模型来研究在市场层面上前期损益对当期风险态度的影响。实证研究发现,在股票市场整体行为上,前期收益会降低当期的风险规避程度;同时,前期损失会提高当期的风险规避程度。 House Money Effect refers to the previous earnings will make investors become more risk seeking. Different from previous empirical research based on psychology experiments or individual investor trading account data, this paper takes the overall behavior of the stock market as the research object, using the world’s most representative 14 stocks composite index as a sample to build TVRA-GARCH -M model to study the impact of prior period profit and loss on the current risk attitude in the market. Empirical study found that in the overall behavior of the stock market, the pre-return will reduce the current level of risk aversion; the same time, the loss will increase the current level of risk aversion.