The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market
Siwar, Ellouz (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, 6, 1
TypeArticle accepté pour publication ou publié
Journal nameJournal of Applied Economic Sciences
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Abstract (EN)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.
Subjects / KeywordsTrading volume; return; overconfidence; disposition effect; volatility; French stock market
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