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The Impact Of Overconfidence Bias And Disposition Effect On The Volume Of Transaction And The Volatility Of The French Stock Market

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  • Ellouz SIWAR

Abstract

The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions.

Suggested Citation

  • Ellouz SIWAR, 2011. "The Impact Of Overconfidence Bias And Disposition Effect On The Volume Of Transaction And The Volatility Of The French Stock Market," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(1(15)/ Sp), pages 61-83.
    • Handle: RePEc:ush:jaessh:v:6:y:2011:i:1(15)_spring2011:p:130
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    References listed on IDEAS

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    Cited by:

    1. Ganesh R & Naresh G & Thiyagarajan S, 2020. "Manifesting Overconfidence Bias and Disposition Effect in the Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(3), pages 257-284, December.
    2. Jaya M. Prosad & Sujata Kapoor & Jhumur Sengupta & Saurav Roychoudhary, 2017. "Overconfidence and Disposition Effect in Indian Equity Market: An Empirical Evidence," Global Business Review, International Management Institute, vol. 19(5), pages 1303-1321, October.

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    More about this item

    Keywords

    Trading volume; return; overconfidence; disposition effect; volatility; French stock market;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets

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