OVERCONFIDENCE AND TRADING VOLUME IN TEHRAN MARKET EXCHANGE

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JAHANKHANI A.; NOUFERESTI M.; GHARAHGOUZLOU FARHANG

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Journal: business managment perspective Year:2009 | Volume:8 | Issue:30 Page(s): 105-123

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Title

OVERCONFIDENCE AND TRADING VOLUME IN TEHRAN MARKET EXCHANGE

Author(s)

JAHANKHANI A. | NOUFERESTI M. | GHARAHGOUZLOU FARHANG | Issue Writer Certificate

Keywords

BEHAVIORAL FINANCEQ2

OVERCONFIDENTQ3

VECTOR AUTOREGRESSION MODELQ2

TEHRAN MARKET EXCHANGE MARKETQ3

Abstract

Overconfidence is a cognitive bias when people make decision under risky Situation. This bias is the result of slow and noisy feedback of making decision, so that people can not realize their skills and abilities. This leads to overcomfidence of people. This paper is trying to find this bias among the investors of Tehran Exchange Market. One of the indicators of overconfidence is the increasing trading volume of investors after attaining returns. We use Vector Autoregression's model for examining this relationship among investors. Market turnover and return are endogenous variables and market dispersion and volatility are exogenous variables of the model. We examine this model with weekly and monthly variables. Our results indicate that there is no relationship between weekly market turnover and lagged market returns, and there is significant relationship between the monthly variable but its coefficient is very low. Then we examine this relationship with individual securities. For this purpose, we used Panel Vector Autoregression with monthly variables. In this model we were looking for a relationship among individual turnover and lagged returns and market returns. The result of the model for individual securities shows that there is no relationship between these variables. At the end we can conclude if there were any limitations in Tehran Exchange Market, there is no overconfidence among investors.

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APA: Copy

JAHANKHANI, A., NOUFERESTI, M., & GHARAHGOUZLOU, FARHANG. (2009). OVERCONFIDENCE AND TRADING VOLUME IN TEHRAN MARKET EXCHANGE. JOURNAL OF BUSINESS MANAGEMENT PERSPECTIVE (MANAGEMENT PERSPECTIVE), 8(30), 105-123. SID. https://sid.ir/paper/115589/en

Vancouver: Copy

JAHANKHANI A., NOUFERESTI M., GHARAHGOUZLOU FARHANG. OVERCONFIDENCE AND TRADING VOLUME IN TEHRAN MARKET EXCHANGE. JOURNAL OF BUSINESS MANAGEMENT PERSPECTIVE (MANAGEMENT PERSPECTIVE)[Internet]. 2009;8(30):105-123. Available from: https://sid.ir/paper/115589/en

IEEE: Copy

A. JAHANKHANI, M. NOUFERESTI, and FARHANG GHARAHGOUZLOU, “OVERCONFIDENCE AND TRADING VOLUME IN TEHRAN MARKET EXCHANGE,” JOURNAL OF BUSINESS MANAGEMENT PERSPECTIVE (MANAGEMENT PERSPECTIVE), vol. 8, no. 30, pp. 105–123, 2009, [Online]. Available: https://sid.ir/paper/115589/en

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