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

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Title

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

Author

DHAOUI, Abderrazak

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.

Keywords

Article
PeerReviewed

Publisher

International Burch University

Date

2015

Extent

2930

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