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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.