Investor’s overconfidence and trading volume in the Tunisian market
| dc.contributor.author | Aymen AJina | |
| dc.date.accessioned | 2025-06-15T07:23:44Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | The proposal, that investors are overconfident about their abilities and their assessment of transactions, may explain the high trading volume observed. And through self-attribution can cause the level of investor overconfidence to vary with market past returns. Indeed, investors distinguish between market growth and recession. More recently, empirical studies of overconfidence support the hypothesis that market past returns explain the current level of trading volume. The objective of this paper was to study overconfidence hypothesis and its impact on trading volume on the Tunisian market. To achieve this goal, we first used a VAR model under two versions. VAR market model shows a significant and positive correlation between past market return and current market turnover. This result validates overconfidence hypothesis and disposition effect. Therefore, we use a securities VAR model that shows a significant and positive correlation between past market return and current securities turnover in presence of securities returns for some companies. This result validates overconfidence hypothesis and not disposition effect. Other companies are characterised by a disposition effect and not by overconfidence since securities VAR model shows a significant and positive correlation between individual past returns and their current turnover in presence of past market returns. We conclude that the exchange activity is not a simple summation of disposition effect of individual securities. | |
| dc.identifier.uri | https://research.arabeast.edu.sa/handle/123456789/49 | |
| dc.language.iso | en | |
| dc.publisher | EuroMed Journal of Management | |
| dc.title | Investor’s overconfidence and trading volume in the Tunisian market | |
| dc.type | Article |