Abstract
The aim of this paper is to focus the interest on the behavioral finance contribution that helps understanding the financial market volatility. In order to put in evidence such an eventual GARCH effect between the exchange volume and the volatility of stock prices on Tunisian financial market. We borrowed the approach of Moschetto (1998) and Najand and Yung (1991) allowing the assessment of the GARCH (1, 1) Model. The data set consists of weekly stock prices and transaction volume. The sample period runs from January 2002 to January 2013.The results pointed to significant positive effect of volume on stock prices that highlights the investor irrational behavior when uncertainty is ruling over the market.
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