IDEAS home Printed from
   My bibliography  Save this article

A Behavioral Explanation For The Asymmetric Volatility Effect


  • Mouna Abbes BOUJELBÈNE


In this study, we test whether the behavioural bias labelled “disposition effect†, defined as the tendency of investors to ride losses and realize gains, leading to asymmetric return-volatility relation before and during subprime crisis periods. The study of the cross-sectional relation between past cumulative return, current return and volatility shows that volatility is less sensible to return chocks when cumulative past return is positive. Using the capital gain measure of Grinblatt, and Han (2005), we examine the relation between capital gain, current return and volatility for American stocks during tranquil and turmoil periods. We find that negative capital gain of disposition investors explain a large part of asymmetric volatility mainly in subprime crisis period. Moreover, volatility is less sensitive to return shocks under positive capital gain before subprime crisis. Although, during subprime crisis period positive capital gain increases volatility of bigger stocks. This finding can be explained by the loss aversion bias which leads investors to take their positions because of increasing of failure risk during global financial crisis period.

Suggested Citation

  • Mouna Abbes BOUJELBÈNE, 2012. "A Behavioral Explanation For The Asymmetric Volatility Effect," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(6(18)/ Su), pages 121-131.
  • Handle: RePEc:ush:jaessh:v:7:y:2012:i:1(18)_summer2011:p:121

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Monacciani, Fabiana, 2010. "University departments evaluation: a multivariate approach," MPRA Paper 24224, University Library of Munich, Germany.
    2. Fabiana Monacciani, 2010. "University Departments evaluation:a multivariate Approach," Journal of Research in Educational Sciences, ASERS Publishing, vol. 0(2), pages 95-108, December.
    Full references (including those not matched with items on IDEAS)

    More about this item


    asymmetric volatility; disposition effect; behavioural finance; subprime crisis; capital gain;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F15 - International Economics - - Trade - - - Economic Integration


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ush:jaessh:v:7:y:2012:i:1(18)_summer2011:p:121. 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: (Laura Stefanescu). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.