Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior

DHAOUI, Abderrazak (2015) Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior. Journal of Economic and Social Studies, 5 (2). pp. 105-126. ISSN 1986 – 8502, doi: 10.14706/JECOSS15527

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Abstract

Abstract: In this paper, we examine the impact of investor psychological state on their trading volume for the US stock market using a VECM model for the period from July 1987 to May 2014. We propose alternative specifications for investors’ sentiment considering their optimistic and pessimistic states. We find that during pessimistic periods, investors’ are extensively alerted. In optimistic and normal periods, they are less attentive.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Journal of Economic and Social Studies
Depositing User: Mrs. Emina Mekic
Date Deposited: 14 Oct 2015 12:56
Last Modified: 29 Jan 2016 08:58
URI: http://eprints.ibu.edu.ba/id/eprint/2930

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