Overconfidence and Trading Volume: The Case of the Tunisian Stock Market

Boujedra, Faouzi; Ismaliia, Fatma

doi:10.33423/jaf.v19i2.1382

Cited by 2 publications

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“…This result confirmed the hypothesis put forth by Merton (1987), which states that stock price appreciation is positively associated with an increase in the stock's investor base. Boujedra and Ismaliia (2019) examined the relationship between stock return and trading volume on the Tunisian stock market. In their study, the authors were interested in testing the investor overconfidence hypothesis of Gervais and Odean (2001), which predicts a causality running from stock returns to trading volume.…”

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confidence: 99%

Relationships Between Stock Price, Trading Volume, and Bid-Ask Spread on the Us Stock Exchange: An Empirical Investigation

2021

Glob J Acc Fin

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This study investigates the relationships between stock price, stock trading volume, and bid-ask spread for 45 firms on the US stock market. To study the nature, extent, and direction of these relationships, we used the Johansen co-integration test, the Vector Error Correction Model (VECM), and the Vector Autoregressive Model (VAR).The analysis indicated that in 62% of the firms, price and volume were co-integrated in the sense that they had a long-run positive equilibrium relationship. On the other hand, the majority of firms showed no relationship between price and spread or volume and spread. In 73% of the firms, there was no relationship between price and spread. Also, 78% of the firms showed no relationship between volume and spread. There was little evidence for co-integration between price and spread or volume and spread. Price and spread were co-integrated in only three firms and volume and spread in two firms.Of interest was the fact that the group of firms that showed a co-integrated relationship between price and volume had group means for return on equity (ROE), return on equity per share, (ROE-S) and return on assets (ROA) that were twice as high as those for the group of firms where volume and price were not related. Also, they had a smaller group mean for total debt to assets ratio than the firms with no relationship between price and volume. These financial ratios are of importance in investment. They give investors the ability to assess a company's financial structure and determine if the company is a suitable investment. Hence, they could be a driving force behind the co-integrated relationship between price and volume.

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Section: Introductionmentioning

confidence: 99%

Relationships Between Stock Price, Trading Volume, and Bid-Ask Spread on the Us Stock Exchange: An Empirical Investigation

2021

Glob J Acc Fin

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Presidential election uncertainty and investor overconfidence bias in sub-Saharan African stock markets

Musah

Domeher

Frimpong

2022

AJEMS

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PurposeThe purpose of this paper is to investigate overconfidence bias and the effect of presidential elections on investor overconfidence bias in sub-Saharan African stock markets.Design/methodology/approachThe study uses the vector autoregressive (VAR) model and its associated impulse response functions to investigate overconfidence bias. Furthermore, we make use of OLS regressions to examine the effect of presidential elections on investor overconfidence bias.FindingsInvestor overconfidence bias is present in the markets of Ghana and Tanzania suggesting that the phenomenon persists in sub–Saharan Africa's small markets. We also find that post-presidential election periods have a dampening effect on investor overconfidence in a country where there is less post-election uncertainty.Originality/valueDespite the previous studies on investor overconfidence bias in sub-Saharan Africa, this paper to the best of the authors’ knowledge, is the first to investigate investor overconfidence bias in the context of presidential elections.

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Overconfidence and Trading Volume: The Case of the Tunisian Stock Market

Cited by 2 publications

References 0 publications

Relationships Between Stock Price, Trading Volume, and Bid-Ask Spread on the Us Stock Exchange: An Empirical Investigation

Relationships Between Stock Price, Trading Volume, and Bid-Ask Spread on the Us Stock Exchange: An Empirical Investigation

Presidential election uncertainty and investor overconfidence bias in sub-Saharan African stock markets

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