文章基本信息

标题：Overconfidence And Trading Volume: Evidence From An Emergent Market
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作者：Zaiane Salma ; Faculty of Economics ; Management Sciences of Tunis Abaoub Ezzeddine 等
期刊名称：Annales Universitatis Apulensis : Series Oeconomica
印刷版ISSN：1454-9409
出版年度：2008
卷号：1
期号：10
出版社：“1 Decembrie 1918” University of Alba Iulia
摘要：It has been a challenge for financial economists to explain some stylized facts observed in securities markets, among them, high levels of trading volume. The most prominent explanation of excess volume is overconfidence. High market returns make investors overconfident and as a consequence, these investors trade more subsequently and make some transactions more aggressively. The aim of our paper is to study the impact of the phenomenon of overconfidence on the trading volume and its role in the formation of the excess volume on the Tunisian stock market. Based on the work of Statman, Thorley and Vorkink (2006) and by using VAR models and impulse response functions, we find a little evidence of the overconfidence hypothesis when we use volume (shares traded) as proxy of trading volume.
关键词：overconfidence; disposition effect; trading volume; emergent markete.s