The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model

Ahmed Bouteska, M. Kabir Hassan, Zeynullah Gider and Hassan Bataineh

The North American Journal of Economics and Finance, 2024, vol. 71, issue C

Abstract: By using the trading data and corporate financial data from 2010 to 2022 in Korean stock market, we combine the Bayesian learning process with the DSSW model to investigate the size and specific manifestations of the disposition effect when market belief is different from investors' irrational beliefs. We find that there is a significant negative correlation between investor sentiment and the investor disposition effect. Moreover, affected by sentiment, the performance of investor disposition effect in the bull market and the bear market is quite opposite. The conclusion of this paper has certain theoretical and practical significance for understanding the disposition effect of investors, optimizing investors' selling decisions, and strengthening the construction of a basic system of the capital market.

Keywords: Irrational expectation; Speculative trading; Asset pricing (search for similar items in EconPapers)
JEL-codes: G12 G14 G40 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824000081
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081

DOI: 10.1016/j.najef.2024.102084

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().