Abstract: As a core component of prospect theory,value function is employed to characterize the subjective experience of a decision-maker's gain and loss.Previous empirical studies of prospect theory were largely carried out through psychological experiments on individual decision-makers.In this paper,taking a whole stock market as an entire entity,we use the flow of information extracted by EGARCH Model as the proxy variable of change in wealth,and then use a two-stage power function as the representation of the value function to study the daily return data from stock market of 10 countries or regions Empirical results show that the value functions of all the 10 stock markets present the shape of inverse-S,instead of the S-Shape of value function generated by most individual- based psychological experiments.

Key words: prospect theory, value function, price volatility, information sequence