Testing overconfidence bias in Pakistani stock market

Figures & data

Table 1. Descriptive statistics

	Return	Turnover	Volt
Mean	0.009	10.669	0.009
Median	0.007	11.167	0.007
Maximum	0.083	17.671	0.100
Minimum	−0.006	−0.379	0.000
Std. Dev.	0.007	3.877	0.008
Skewness	2.655	−0.488	3.953
Kurtosis	15.87	2.538	29.01

Table 2. Unit root analysis

Variables	ADF Prob. test	P.P	Status
		Prob. test
Return	0.0000	0.0000	Stationary
Turnover	0.0000	0.0000	Stationary
Volatility	0.0001	0.0001	Stationary

Table 3. Lag order selection criteria. Endogenous variables: TURN RETURN. Exogenous variables: C VOLT

Lag	log L	AIC	SC
0	4712.3	−2.909952	−2.9024
1	8124.7	−5.016519	−5.0014
2	8194.9	−5.057417	−5.0348
3	8232	−5.077865	−5.047^a
4	8244.1	−5.08288^a	−5.0452

Note: AIC: Akaike info criterion.

^a Lag order selected by the criterion.

Table 4. Panel VAR

	Turn	Return
Panel A
TURN(−1)	0.81101	0.000307
	−0.01884	−4.10E-05
	[43.0504]	[7.46257]
TURN(−2)	0.047706	−0.000169
	−0.02382	−5.20E-05
	[2.00274]	[−3.24981]
TURN(−3)	0.038814	5.93E-06
	−0.02385	−5.20E-05
	[1.62743]	[0.11368]
TURN(−4)	0.077385	8.90E-05
	−0.01857	−4.10E-05
	[4.16797]	[2.19300]
Panel B
RETURN(−1)	−16.15209	0.218891
	−6.00161	−0.01312
	[−2.69129]	[16.6808]
RETURN(−2)	−25.9807	0.031208
	−6.35228	−0.01389
	[−4.08998]	[2.24695]
RETURN(−3)	−21.51968	0.032683
	−6.29456	−0.01376
	[−3.41877]	[2.37471]
RETURN(−4)	−13.10279	0.011667
	−5.6578	−0.01237
	[−2.31588]	[0.94309]
C	0.206567	−0.002192
	−0.08996	−0.0002
	[2.29613]	[−11.1445]
VOLT	83.81182	0.669416
	−4.43764	−0.0097
	[18.8866]	[68.9925]

Notes: Standard errors in () and t-statistics in [].

Table 5. Granger causality test

Null hypothesis:	F-Statistic	Prob.
RETURN does not Granger cause TURN	5.299	0.0003
TURN does not Granger cause RETURN	11.425	0.000

Notes: Sample: 1,3240. Lags: 4.

Figure 1. Response of RETURN to RETURN.

Figure 2. Response of RETURN to TURN.

Figure 3. Response of TURN to RETURN.

Figure 4. Response of TURN to TURN.