The Impact Of Overconfidence Bias And Disposition Effect On The Volume Of Transaction And The Volatility Of The French Stock Market
AbstractThe 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.
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Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 6 (2011)
Issue (Month): 1(15)/ Spring 2011 ()
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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
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Trading volume; return; overconfidence; disposition effect; volatility; French stock market;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G1 - Financial Economics - - General Financial Markets
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