THE IMPACT OF OVERCONFIDENCE BIAS AND DISPOSITION EFFECT ON THE VOLUME OF TRANSACTION AND THE VOLATILITY OF THE FRENCH STOCK MARKET1
THE IMPACT OF OVERCONFIDENCE BIAS AND DISPOSITION EFFECT ON THE VOLUME OF TRANSACTION AND THE VOLATILITY OF THE FRENCH STOCK MARKET1
Author(s): Ellouz SIWARSubject(s): Economy
Published by: RITHA Publishing
Keywords: trading volume; return; overconfidence; disposition effect; volatility; French stock market
Summary/Abstract: The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions.
Journal: Journal of Applied Economic Sciences (JAES)
- Issue Year: VI/2011
- Issue No: 15
- Page Range: 61-83
- Page Count: 1
- Language: English
