Abstract
In this paper, we tried to show the existence of excess volatility of stock prices in the Tunisian stock exchange during the period 2000 - 2017, by applying the variance bounds of Shiller. We used data on daily closing prices and the transaction volume of 22 companies listed on Tunisian Financial market during the period 2016/2017 to identify the relationship between over confidence bias and the Excess Volatility via the Granger causality test. Based on Chuang and Lee’s approach, we studied the effect of the excess confidence component on volatility by the E-GARCH Model (1.1). Our results show that high market volatility resulted from overconfident investors.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
