Investor Overconfidence in Financial Markets: the Case of Tunisian Market
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Beschrijving
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This study analyzes the impact of overconfidence on trading volume, with reference to the seminal work of behavioral finance. Using data from 35 Tunisian companies (1999-2006) and via Granger causality tests, a VAR model and impulse response functions, the results reveal significant causality from market returns to volume, confirming the presence of overconfidence and its amplifying role on trading activity. Further analysis distinguishes this effect from that of disposition: the persistent relationship between past market returns and individual volume, even when controlling for security-specific returns, validates excess confidence as the main driver of volume, showing that trading activity cannot be reduced to the disposition effect.
Beschrijving
(1)
This study analyzes the impact of overconfidence on trading volume, with reference to the seminal work of behavioral finance. Using data from 35 Tunisian companies (1999-2006) and via Granger causality tests, a VAR model and impulse response functions, the results reveal significant causality from market returns to volume, confirming the presence of overconfidence and its amplifying role on trading activity. Further analysis distinguishes this effect from that of disposition: the persistent relationship between past market returns and individual volume, even when controlling for security-specific returns, validates excess confidence as the main driver of volume, showing that trading activity cannot be reduced to the disposition effect.
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