An empirical analysis of the excessive volatility-overconfidence relationship: Evidence from the Tunisian Stock Market
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 1
Abstract
The purpose of this paper is to provide that the explanation of excessive volatility can be only done through an attentive description of the psychological aspects of the investors. Our interest is carried in particular to the overconfidence bias. Our objective in this study is to identify whether the excessive volatility of observed stocks on the Tunisian Stock Market (TSE) results from the excessive trading of overconfident investors. The analysis of the obtained results, over the period January 1999 – October 2007, indicates quite clearly the importance of considering this bias in analysis of the specificities of Tunisian Stock Market (TSE). It appears that overconfidence admits a more pronounced effect on the volatility for daily time intervals compared to weekly and monthly intervals.The asymmetric nature of the dynamics of return volatility in response to positive and negative shocks is also checked.
Authors and Affiliations
Bayoudh Feker| International Expert for auditing programs financed by the European Union, Houfi Mohamed Ali| Assistant Professor of mathematical economics and econometrics, IHEC Carthage, University of Carthage, Tunisia. LEGI-Ecole Polytechnique de Tunis, Tissaoui Kais| Associate Professor of Management Department, Faculty of Law Sciences, Economic Sciences and Management of Jendouba, Jendouba University, and PhD student at Faculty of Management and Economic Sciences of Tunis, El Manar University, Zamouri Sana| Associate Professor of Management Department, Faculty of Law Sciences, Economic Sciences and Management of Jendouba, Jendouba University, and PhD student at institute of Management of Tunis, Tunis University
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