Investor emotional biases and trading volume's asymmetric response: A non-linear ARDL approach tested in S&P500 stock market

Artikel

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive distributed lag (NARDL) model is used to capture the long-term and short-term non-linear connections between the investor sentiment and the stock market liquidity. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment. In the short-term, the stock market liquidity react rapidly and asymmetrically to changes in overconfidence sentiment, while the optimism and pessimism sentiment has insignificant short-term impact on trading volume.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-13 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft
• Subject: trading volume ; stock return ; overconfidence ; optimism-pessimism ; NARDL ; S&P500

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dhaoui, Abderrazak ; Bacha, Sami
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2017

Further information

• DOI: doi:10.1080/23322039.2016.1274225
• Handle: http://hdl.handle.net/10419/194648
• Last update: 10.03.2025, 11:44 AM CET