Study of the Dynamics of Asset Prices by a Behavioral Approach: Theoretical Foundations & Empirical Investigation

摘要

We study according to the work of Statman, Thorley and Vorkink (2004), Glaser and Weber (2004) and Chuang and Lee (2006), the dynamic relationship between the overconfidence of investors and the volume of transactions. This study aims to show, first, that overconfidence is a systematic cognitive bias most investors suffer from and the effect of which can affect the efficiency of financial markets. We test this hypothesis for a sample of 35 Tunisian companies over a period of 2000 to 2010 according to frequency (daily, weekly, and monthly) using a range of econometric tests or tests of Granger causality. Then we applied vector autoregression VAR modeling and impulse response functions associated. We prove the presence of excess confidence in the Tunisian market through a significant relationship Granger returns to the current market volume of transactions. In addition, we can test the hypothesis that overconfidence encourages the volume of transactions. Because these results support the hypothesis of the disposition effect, we argue our study distinguishes the overconfidence of this bias. Following the positive and significant relationship between past market returns and individual trading volume in individual past performance, we can validate the overconfidence hypothesis and distinguish it from the effect of this provision, which allows us to conclude that the exchange market activity is not a simple summation of disposition effecting individual securities.