2,420
Views
16
CrossRef citations to date
0
Altmetric
Research Article

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

& ORCID Icon | (Reviewing Editor)
Article: 1274225 | Received 23 Jul 2016, Accepted 14 Dec 2016, Published online: 04 Jan 2017

References

  • Akerlof, G. A., & Shiller, J. S. (2009). Animal spirits: How human psychology drives the economy, and why it matters for global capitalism. Princeton, NJ: Princeton University Press.
  • Atil, A., Lahiani, A., & Nguyen, D. K. (2014). Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices. Energy Policy, 65, 567–573.10.1016/j.enpol.2013.09.064
  • Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7, 271–299.10.1016/j.finmar.2003.11.005
  • Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307–343.10.1016/S0304-405X(98)00027-0
  • Beyer, A., & Guttman, I. (2011). The effect of trading volume on analysts’ forecast bias. The Accounting Review, 86, 451–481.10.2308/accr.00000030
  • Boynton, W., Oppenheimer, H. R., & Reid, S. F. (2009). Japanese day-of-the-week return patterns: New results. Global Finance Journal, 20, 1–12.10.1016/j.gfj.2009.03.003
  • Brailsford, T. J. (1996). The empirical relationship between trading volume, returns and volatility. Accounting & Finance, 36, 89–111.10.1111/acfi.1996.36.issue-1
  • Brock, W., & LeBaron, B. D. (1996). A dynamic structural model for stock return volatility and trading volume. The Review of Economics and Statistics, 78, 94–110.10.2307/2109850
  • Campbell, J. P., McCloy, R. A., Oppler, S. H., & Sager, C. E. (1993). A theory of performance. In C. W. Schmitt & W. C. A. Borman (Eds.), Personnel selection in organizations (pp. 35–70). San Francisco, CA: Jossey-Bass.
  • Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61, 345–381.10.1016/S0304-405X(01)00066-6
  • Chen, S. S. (2012). Revisiting the empirical linkages between stock returns and trading volume. Journal of Banking and Finance, 36, 1781–1788.10.1016/j.jbankfin.2012.02.003
  • Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56, 501–530.10.1111/0022-1082.00335
  • Chordia, T., & Swaminathan, B. (2000). Trading volume and cross-autocorrelations in stock returns. The Journal of Finance, 55, 913–935.10.1111/0022-1082.00231
  • Crouch, R. L. (1970). The volume of transactions and price changes on the New York stock exchange. Financial Analysts Journal, 26, 104–109.10.2469/faj.v26.n4.104
  • Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (2001). Overconfidence, arbitrage, and equilibrium asset pricing. The Journal of Finance, 56, 921–965.10.1111/0022-1082.00350
  • De Bondt, W., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40, 793–805.10.1111/j.1540-6261.1985.tb05004.x
  • Dhaoui, A. (2013). Animal spirits and trading volume in international financial markets between 2002 and 2011. Journal of Economic and Social Studies, 3, 163–185.10.14706/JECOSS11
  • Dhaoui, A. (2015). What does matter in economy today: When human psychology drives financial markets. Arab Economic and Business Journal, 10, 39–47.10.1016/j.aebj.2014.12.002
  • Dhaoui, A., Bourouis, S., & Boyacioglu, M. A. (2013). The impact of investor psychology on stock markets: Evidence from France. Journal of Academic Research in Economics, 5, 35–59.
  • Dhaoui, A., & Khraief, N. (2014). Sensitivity of trading intensity to optimistic and pessimistic beliefs: Evidence from the French stock market. Arab Economic and Business Journal, 9, 115–132.10.1016/j.aebj.2014.05.008
  • Epps, T. W. (1975). Security price changes and transaction volumes: Theory and evidence. The American Economic Review, 65, 586–597.
  • Epps, T. W. (1977). Security price changes and transaction volumes: Some additional evidence. The Journal of Financial and Quantitative Analysis, 12, 141–146.10.2307/2330293
  • Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992). Stock prices and volume. Review of Financial Studies, 5, 199–242.10.1093/rfs/5.2.199
  • Godfrey, M. D., Granger, C. W. J., & Morgenstern, O. (1964). The random-walk hypothesis of stock market behavior. Kyklos, 17, 1–30.10.1111/kykl.1964.17.issue-1
  • Granger, C. W. J., & Morgenstern, O. (1963). Spectral analysis of New York stock market prices. Kyklos, 16, 1–27.10.1111/kykl.1963.16.issue-1
  • Grossman, S. J., & Miller, M. H. (1988). Liquidity and market structure. The Journal of Finance, 43, 617–633.10.1111/j.1540-6261.1988.tb04594.x
  • Haruvy, E., Stahl, D. E., & Wilson, P. W. (1999). Evidence for optimistic and pessimistic behavior in normal-form games. Economics Letters, 63, 255–259.10.1016/S0165-1765(99)00028-2
  • Hayes, R. M. (1998). The impact of trading commission incentives on analysts’ stock coverage decisions and earnings forecasts. Journal of Accounting Research, 36, 299–320.10.2307/2491479
  • Hiemstra, C., & Jones, D. J. (1994). Testing for linear and nonlinear Granger causality in the stock price volume relation. Journal of Finance, 49, 1639–1664.
  • Ibrahim, M. H. (2015). Oil and food prices in Malaysia: A nonlinear ARDL analysis. Agricultural and Food Economics, 2, 14–21.
  • Jackson, A. R. (2005). Trade generation, reputation, and sell-side analysts. The Journal of Finance, 60, 673–717.10.1111/j.1540-6261.2005.00743.x
  • Kamara, A., & Koski, J. L. (2001). Volatility, autocorrelations, and trading activity after stock splits. Journal of Financial Markets, 4, 163–184.10.1016/S1386-4181(00)00018-5
  • Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. The Journal of Financial and Quantitative Analysis, 22, 109–127.10.2307/2330874
  • Katrakilidis, C., & Trachanas, E. (2012). What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration. Economic Modelling, 29, 1064–1069.10.1016/j.econmod.2012.03.029
  • Kcherem, F., & Bouri, A. (2009). Fuzzy logic and investment strategy. Global Economy & Finance Journal, 2, 22–37.
  • Keynes, J. M. (1936). The general theory of employment interest and money. London: McMillan.
  • Lee, B. S., & Rui, O. M. (2002). The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence. Journal of Banking & Finance, 26, 51–78.10.1016/S0378-4266(00)00173-4
  • Lee, Y. T., Fok, R. C. W., & Liu, Y. J. (2001). Explaining intraday pattern of trading volume from the order flow data. Journal of Business Finance and Accounting, 28, 199–230.10.1111/jbfa.2001.28.issue-1-2
  • Mestel, R., Gurgul, H., & Majdosz, P. (2003). The empirical relationship between stock returns, return volatility and trading volume on the Austrian stock market (Research Paper). University of Graz, Institute of Banking and Finance, Graz.
  • Otten, W. (1989). Optimism. Amsterdam: University of Amsterdam.
  • Pathirawasam, C. (2011). The relationship between trading volume and stock returns. Journal of Competiveness, 3, 41–49.
  • Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289–326.10.1002/(ISSN)1099-1255
  • Pisedtasalasai, A., & Gunasekarage, A. (2007). Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia. Asia-Pacific Financial Markets, 14, 277–297.10.1007/s10690-008-9063-3
  • Romilly, P., Song, H., & Liu, X. (2001). Car ownership and use in Britain: A comparison of the empirical results of alternative cointegration estimation methods and forecasts. Applied Economics, 33, 1803–1818.10.1080/00036840011021708
  • Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Econometric Methods and Applications. doi:10.1007/978-1-4899-8008-3_9.281-314
  • Tripathy, N. (2010). Expiration and Week effect: Empirical evidence from Indian derivative Market. International Review of Business Research Papers, 6, 209–219.
  • Ulussever, T., Yumusak, I., & Kar, M. (2011). The day-of-the-week effect in the Saudi stock exchange: a non-linear garch analysis. Journal of Economic and Social Studies, 1, 9–23.10.14706/JECOSS11
  • Weinstein, N. D. (1980). Unrealistic optimism about future life events. Journal of Personality and Social Psychology, 39, 806–820.10.1037/0022-3514.39.5.806