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THE IMPACT OF OVERCONFIDENCE BIAS AND DISPOSITION EFFECT ON THE VOLUME OF TRANSACTION AND THE VOLATILITY OF THE FRENCH STOCK MARKET

SIWAR Ellouz

Journal of Applied Economic Sciences, 2011, vol. 6, issue 1(15)/ Spring 2011, pages 61-83

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.

Keywords: Trading volume; return; overconfidence; disposition effect; volatility; French stock market (search for similar items in EconPapers)
JEL-codes: E44 G1 (search for similar items in EconPapers)
Date: 2011
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Persistent link: http://EconPapers.repec.org/RePEc:ush:jaessh:v:6:y:2011:i:1(15)_spring2011:p:130

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