OVERCONFIDENCE AND TRADING VOLUME: EVIDENCE FROM AN EMERGENT MARKET

It has been a challenge for financial economists to explain some stylized factsobserved in securities markets, among them, high levels of trading volume. The mostprominent explanation of excess volume is overconfidence. High market returns makeinvestors overconfident and as a consequence, these investors trade more subsequently andmake some transactions more aggressively. The aim of our paper is to study the impact of thephenomenon of overconfidence on the trading volume and its role in the formation of theexcess volume on the Tunisian stock market. Based on the work of Statman, Thorley andVorkink (2006) and by using VAR models and impulse response functions, we find a littleevidence of the overconfidence hypothesis when we use volume (shares traded) as proxy oftrading volume.overconfidence, disposition effect, trading volume, emergent market

The Impact Of Political Instability Driven By The Tunisian Revolution On Stock Market Volatility: Evidence From Sectorial Indices

The aim of this paper is to study the impact of political uncertainty, driven by the Tunisian Revolution, on return and volatility of major sectorial stock indices in the Tunisian Stock Exchange. We specifically use EGARCH (1.1) model from 01/12/2010 to 31/08/2016. This model is applied to the daily returns relevant to ten sectorial stock indices and to the Tunisian benchmark index (TUNINDEX). To test the impact of political news on returns and volatility, we divided them into two groups (good and bad news). Our results show that both of good and bad news have increased the volatility of major selected indices, including the TUNINDEX. However, the return of all indices are not affected by the political news. We then examined the impact of terrorism on the behavior of indices return and volatility. Results show that the Tunisian market responds significantly to terrorist acts. Hence, the return declines and the volatility increase the day of terrorist attacks. Furthermore, results confirm that bad news have stronger effect on the volatility than good news, which reveal the asymmetric effect of volatility