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

被引：3
|
作者：
Dhaoui, Abderrazak [1 ]
机构：
[1] Univ Sousse, Sousse, Tunisia
来源：
JOURNAL OF ECONOMIC AND SOCIAL STUDIES | 2015年 / 5卷 / 02期
关键词：
Trading Volume; Stock Market Returns; Optimism Shocks; Pessimism Shocks; Impulse Response Functions;
D O I：
10.14706/JECOSS15527
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：105 / 126
页数：22
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