Advanced Search
MyIDEAS: Login to save this article or follow this journal

Does the Tunisian Stock Market Overreact?

Contents:

Author Info

  • Fatma Hammami Dhouib

    ()
    (Doctorante en Sciences de Gestion, Faculté des Sciences économiques et de Gestion, Université de Sfax – Tunisie Laboratoire de Finance, de Comptabilité et d'Intermédiations Financière (LAFICOIF) à la Faculté des Sciences Economiques et de Gestion, Université Elmanar de Tunis – Tunisie)

  • Ezzeddine Abaoub

    ()
    (Professeur Agrégé en Sciences de Gestion, Faculté des Sciences Economiques et de Gestion, Université Elmanar de Tunis – Tunisie Laboratoire de Finance, de Comptabilité et d'Intermédiations Financière (LAFICOIF) à la Faculté des Sciences Economiques et de Gestion, Université Elmanar de Tunis – Tunisie)

Registered author(s):

    Abstract

    Research in experimental financial markets suggests that most people tend to overreact to unexpected, striking, and more recent news, and underreact to ordinary or non desirable new events. Many researchers document, as a result that, if one of these behavioral designs exist, then stock prices will follow a mean-reversion phenomenon due to investor's overreaction, and a momentum behavior due to investor's underreaction. This study investigates if such behavior affects stock prices on the Tunisian Stock Market. In other words, we tend to discover the eventual existence of return mean-reversion and/or momentum behavior on the Tunisian Stock Market over the period between January 1997 and December 2005. For this purpose, we have applied a contrarian strategy, which consists of buying the previous (12, 18, 24 and 36 months) loser portfolio and selling the past winner portfolio. Our results point out that, over periods of 18, 24 and 36 months, stock returns exhibit statistically significant mean-reversion phenomenon, while, over 12 months periods, stock returns present significant momentum behavior. This means that stock prices are predictable on the basis of their historical recordings without using any accounting data, in contrast to the weak-form efficient market hypothesis.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://web.usm.my/journal/aamjaf/vol3-2-2007/3-2-5.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Penerbit Universiti Sains Malaysia in its journal Asian Academy of Management Journal of Accounting and Finance.

    Volume (Year): 3 (2007)
    Issue (Month): 2 ()
    Pages: 83-107

    as in new window
    Handle: RePEc:usm:journl:aamjaf00302_83-107

    Contact details of provider:
    Web page: http://web.usm.my/aamj/
    More information through EDIRC

    Related research

    Keywords: behavioral finance; overreaction; underreaction; contrarian strategy; momentum strategy; Tunisian Stock Market;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf00302_83-107. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journal Division).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.