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Investor Following And Volatility: A GARCH Approach

Author

Listed:
  • Amal Aouadi

    (CRCGM - Centre de Recherche Clermontois en Gestion et Management - UdA - Université d'Auvergne - Clermont-Ferrand I - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand)

  • Mohamed Arouri

    (CRCGM - Centre de Recherche Clermontois en Gestion et Management - UdA - Université d'Auvergne - Clermont-Ferrand I - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand)

  • Frédéric Teulon

    (IPAG Business School)

Abstract

In this paper, we aim to investigate whether investor following is a determinant of the stock
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2015. "Investor Following And Volatility: A GARCH Approach," Post-Print hal-04516520, HAL.
    • Handle: RePEc:hal:journl:hal-04516520
    as

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    Cited by:

    1. is not listed on IDEAS
    2. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
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    More about this item

    Keywords

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    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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