The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange

Hsini Mosbeh () and Mondher Kouki ()

Business and Economic Research, 2016, vol. 6, issue 2, 13-29

Abstract: This paper examines the behavioral bias in Tunisia, a country with a small stock market in terms of capital, but surprisingly dynamic in comparison to other emerging markets. Our study is consistent with Jegadeesh & Titman (1993)' approach as presented to highlight an analysis of such reversal phenomena of portfolio returns, and provides explanatory factors to the so-called market trends reversal. The empirical investigation is based on a weekly database for a period from January 2002 to January 2013 related to stock prices and index values of market capitalization (TUNINDEX). The empirical test demonstrates the existence of winner-loser phenomenon in accordance with over-reaction hypothesis stating that portfolios with the worst past performance outperform, during the subsequent periods, those having produced best past performance and vice versa.

Keywords: Behavioral bias; Reversal; Stock market trend; Momentum effect (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.macrothink.org/journal/index.php/ber/article/view/9326/7896 (application/pdf)
http://www.macrothink.org/journal/index.php/ber/article/view/9326 (text/html)

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:mth:ber888:v:6:y:2016:i:2:p:13-29

Access Statistics for this article

Business and Economic Research is currently edited by Daisy Young

More articles in Business and Economic Research from Macrothink Institute
Bibliographic data for series maintained by Technical Support Office ( this e-mail address is bad, please contact ).