scholarly journals Impact of the Self-Attribution Bias on the Trading Activity: The Case of the Tunisian Stock Market

2017 ◽  
Vol 7 (1) ◽  
Author(s):  
Ramzi Boussaidi
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Market Performance ◽  
The Self ◽  
Market Returns ◽  
Causality Test ◽  
Subsequent Period ◽  
Before And After ◽  
Attribution Bias ◽  
Tunisian Revolution

The self-attribution bias is the tendency of people to consider themselves as able to influence randomly-generated outcomes. Investors who exhibit such a bias tend to attribute market gains to their ability to select winning stocks and trade actively in the subsequent period. We examined this hypothesis in the Tunisian stock market before and after the 2011 revolution using a causality test between market trading volume and market return. We found that Tunisian investors tend to trade more after observing high market returns and trade less after poor market performance. In the wake of the Tunisian revolution, this effect persists for one-week horizon, but disappears for one-month horizon.

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bijoy Rakshit ◽  
Yadawananda Neog
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Emerging Economies ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

Privatization: A Catalyst for the Profitability of French Companies: Empirical Validation

2018 ◽  
Vol 8 (1) ◽  
pp. 115
Author(s):  
Anouar Dkhili
Keyword(s):  
Stock Market ◽  
Market Performance ◽  
Wilcoxon Test ◽  
Performance Indices ◽  
Public Companies ◽  
Stock Market Performance ◽  
Before And After ◽  
Static Effect ◽  
The One ◽  
Profitability Ratios

The aim of this paper is to test the static and dynamic effects of the long-term privatization of public companies, on the one hand on their economic and financial profitability, and on the other hand on their stock market performance. To achieve this goal, we used a sample of 14 French companies observed during the period 1986-2014. The econometric approach used in this study is of the longitudinal type, the data cover a horizon of seven years (three years before privatization, the year of privatization and three years later), while applying tests of median differences (Wilcoxon test) and mean difference (Student's test), applied to the two series of averages of profitability ratios and market performance indices calculated before and after privatization. The empirical results indicate firstly that there is a significant static effect for most companies on the profitability ratios (ROA, ROE), as well as on the stock market performance indices (BHR, BHAR), except the ratio of investment expenditure that is not statistically significant. Secondly, although the coefficient of the variable TP (expressing the interaction between the variables T and P) to only five positive signs out of 14 firms, there is a good linear adjustment (R2) between the independent variables (the time variable T, the privatization dummy variable P) and the dependent variable (Performance), which has just confirmed the dynamic efficiency of privatizations.

Contribution of StockMarket Towards Economic Growth: An Empirical Study on Bangladesh Economy

2017 ◽  
Vol 13 (4) ◽  
pp. 238 ◽  
Author(s):  
Sonia Rezina ◽  
Nusrat Jahan ◽  
Mohitul Ameen Ahmed Mustafi
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Market Performance ◽  
Unit Root Test ◽  
Causality Test ◽  
Stock Market Development ◽  
Stock Market Performance ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
The Impact

The economic growth of a country is influenced by many different factors. This study aims to investigate the causal relationship between stock market development and economic growth in Bangladesh as well as the impact of stock market performance upon the economic growth of Bangladesh. The stock market performance has been measured by market capitalization ratio, number of listed companies, total value traded and turnover ratio; and the economic growth was represented by real gross domestic product. The periods taken for study were from year 1994 to year 2015.The effect of the stock market reform will also be addressed to explain the relationship. The study has been conducted using Augmented Dickey- Fuller Unit Root Test, Johansen Cointegration Test and the Granger Causality Test. The findings of the research should help the policy makers and regulators to look after their interest in the financial sector of the country.

On the Verges of Overconfidence

2015 ◽  
Vol 29 (4) ◽  
pp. 3-8 ◽  
Author(s):  
Ulrike Malmendier ◽  
Timothy Taylor
Keyword(s):  
Public Policy ◽  
Stock Market ◽  
Capital Structure ◽  
Trading Volume ◽  
Market Returns ◽  
Empirical Measures ◽  
Stock Market Returns ◽  
Managerial Overconfidence ◽  
Rule Out

This symposium provides several examples of overconfidence in certain economic contexts. Michael Grubb looks at “Overconfident Consumers in the Marketplace.” Ulrike Malmendier and Geoffrey Tate consider “Behavioral CEOs: The Role of Managerial Overconfidence.” Kent Daniel and David Hirshleifer discuss “Overconfident Investors, Predictable Returns, and Excessive Trading.” A number of insights and lessons emerge for our understanding of markets, public policy, and welfare. How do firms take advantage of consumer overconfidence? Might government attempts to rule out such practices end up providing benefits to some consumers but imposing costs on others? How are empirical measures of CEO overconfidence related to investment and the capital structure of firms? Can overconfidence among at least some investors help to explain prominent anomalies in stock markets like high levels of trading volume and certain predictable patterns in stock market returns?

scholarly journals The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market

2021 ◽  
Vol 13 (2) ◽  
Author(s):  
Gabriel Augusto de Carvalho ◽  
João Eduardo Ribeiro ◽  
Laíse Ferraz Correia
Keyword(s):  
Stock Market ◽  
Confidence Level ◽  
Trading Volume ◽  
Stock Exchange ◽  
Structural Break ◽  
Market Liquidity ◽  
Market Makers ◽  
Turnover Ratio ◽  
Before And After ◽  
Structural Break Test

Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. We chose to consider data in the window of 260 days before and after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and to avoid erroneous conclusions due to the volatility of the Brazilian stock market. Results: The results showed with a 99% confidence level that after the introduction of market makers, (i) 67% of the stocks analyzed had abrupt and statistically significant changes in the average spread; (ii) 47% in the turnover ratio; and (iii) 60% had changes in the volume transactions. At the confidence level of 95%, (i) 76% of the stocks analyzed showed abrupt changes in the average spread; (ii) 65% had changes in turnover; (iii) and 69% had changes in the trading volume. Using a lower confidence level of 90%, the results revealed 85% of the stocks had abrupt and statistically significant changes in the average spread, 78% in the turnover ratio, and 73% in the trading volume. Contributions of the Study: This paper provides strong evidence on the performance of market makers and the influence they have on the market liquidity of stocks traded on the Brazilian stock exchange. We found that contracting market makers increase market liquidity and contribute significantly to the assets’ transactions.

Volatility–Volume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors

2006 ◽  
Vol 09 (04) ◽  
pp. 575-596 ◽  
Author(s):  
Ching-Mann Huang ◽  
Tsai-Yin Lin ◽  
Chih-Hsien Yu ◽  
Si-Ying Hoe
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Trading Volume ◽  
Individual Investors ◽  
Volume Data ◽  
Foreign Investors ◽  
Volume Relationship ◽  
Before And After ◽  
The Individual

This paper examines the volatility–volume relationship in Taiwan stock market, using volume data categorized by type of trader. We consider before and after our event period of lifting the investment restrictions for foreign investors. We partition trading volume into expected and unexpected volume and find that the unexpected volume shocks for individual investors are more important than the expected volume shocks in explaining volatility before lifting the investment restrictions for the foreign investors. We find that the positive volatility–volume relationship is driven by the individual investors even during the period of the lifting of investment restrictions for foreign investors. However, with respect to institutional investors, before the removal of investment restrictions for foreign investors, the unexpected volume of trading of the domestic dealers exhibit positive volatility–volume relationship. Further, after the removal of investment restrictions, the unexpected volume of the foreign investors has a positive volatility–volume relationship.

scholarly journals Type of Traders’ Effect on Risk and Return: The Case of Egyptian Stock Exchange

2016 ◽  
Vol 8 (2) ◽  
pp. 256
Author(s):  
Aly Saad Mohamed Dawood ◽  
Khairy El-Giziry
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Garch Model ◽  
Market Returns ◽  
Market Values ◽  
Market Return ◽  
Lag Structure ◽  
Egyptian Stock Exchange

<p>This research paper aims to estimate the effect of investor categories (Foreigners, Arab, Egyptian institutions and individuals) trading volume, value and number of transactions on capital market returns and volatility.  </p><p>We depend on data Foreigners, Arabian and Egyptian trading volume, values and number of transaction of buying and selling for institutions and individuals and capital market values for the period from January 1st 2009 to December 31 2013.</p><p>We used descriptive statistics to identify normal distribution of data. Then, performing lead lag structure approach to obtain the optimum lag for the independent variable which has the maximum correlation with the dependent variable. Next, Garch model utilized to estimate the effect of trading volume, value, number of transactions on capital market return and volatility. Finally, the same model utilized to estimate the effect of investor categories on capital market return and volatility for the six periods starting from January 1<sup>st</sup> 2009 to December 31 2013 which represents the whole period and five yearly periods for the same period.</p><p>We found that institutions are the main source of volatility in the Egyptian stock market. Garch models showed weak effect on volatility for all periods. In the light of this study Foreigners and trading value items are the main source of effect on volatility. Finally, consistent with Chou (1988), the findings of GARCH model indicated that volatility persistence is less than unity which revealed that the Egyptian stock market could absorb shocks across time.</p>

scholarly journals Weibo Attention and Stock Market Performance: Some Empirical Evidence

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-8
Author(s):  
Minghua Dong ◽  
Xiong Xiong ◽  
Xiao Li ◽  
Dehua Shen
Keyword(s):  
Regression Analysis ◽  
Stock Market ◽  
Quantile Regression ◽  
Empirical Evidence ◽  
Trading Volume ◽  
Market Performance ◽  
Correlation Coefficients ◽  
Investor Attention ◽  
Stock Market Performance ◽  
Quantile Regression Analysis

In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis.

Relationship Between FIIs’ Herding and Returns in the Indian Equity Market: Further Empirical Evidence

2019 ◽  
pp. 097215091984522
Author(s):  
Kapil Choudhary ◽  
Parminder Singh ◽  
Amit Soni
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Trading Volume ◽  
Negative Relationship ◽  
Positive Association ◽  
Vital Role ◽  
Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Market Trading

Empirical evidence indicates that foreign institutional investors (FIIs) play a vital role in financial markets, and being the major players, they demonstrate positive feedback trading behaviour and usually follow one another’s actions. In order to examine this phenomenon, the present study endeavoured to unearth the relationship between foreign institutional investments (FIIs) and returns in the Indian stock market, trading volume and volatility. The return of the Nifty50 index has surrogated market returns, while volatility is represented by conditional volatility computed from Nifty50, from January 1999 to May 2017. The vector autoregression (VAR) results indicate a positive association between herding among FIIs and lagged market returns, while information asymmetry has no impact on herding. On the other hand, previous-day volatility has a significant bearing on the herding measure. Overall, the results portray a significant relationship between herding and stock market returns in India. The results of multivariate regression exhibit that market return was a primary factor for FII herding during the study period under consideration, while trading volume bore no relationship with herding. In case of market volatility, the empirical results are in congruence with the fact that during the period of the volatile market, FIIs prefer to not indulge in herding. Furthermore, the results of three sub-periods, that is, before, during and after the crisis, are similar to the results of the whole study period which indicates that the return is a prime and vital force for herding; on the contrary, market volatility appears to have a negative relationship with herding.

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