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

Dhaoui, Abderrazak

doi:10.14706/jecoss15527

Cited by 4 publications

(7 citation statements)

References 46 publications

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“…The authors argued that individual investor sentiment influences stock returns. However, the non-leverage result contradicts the findings of Uygur and Taş (2014) and Dhaoui (2015). Unlike Dhaoui (2015) and Uygur and Taş (2014), our results do not find evidence on the existence of the leverage effect in the stock market index.…”

Section: Resultscontrasting

confidence: 99%

“…However, the non-leverage result contradicts the findings of Uygur and Taş (2014) and Dhaoui (2015). Unlike Dhaoui (2015) and Uygur and Taş (2014), our results do not find evidence on the existence of the leverage effect in the stock market index. This finding means that optimism and pessimism shocks do not have an asymmetric effect on the actions of investors.…”

Section: Resultscontrasting

confidence: 99%

“…Recent studies used new proxies for psychological states of mind summed up as optimistic and pessimistic beliefs about the future direction of the stock market to determine the level of stock trading. For example, Dhaoui (2015) found that investors’ trading volume is determined by their pessimistic state of mind. Optimism and pessimism shocks have an asymmetric effect on investors’ actions.…”

Section: Literature Reviewmentioning

confidence: 99%

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Islamic index market sentiment: evidence from the ASEAN market

Danila

Kamaludin

Sundarasen

et al. 2021

JIABR

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Purpose The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment. Design/methodology/approach The GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present. Findings All five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah. Practical implications Whilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling. Social implications In some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market. Originality/value Investigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.

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Section: Resultscontrasting

confidence: 99%

Section: Resultscontrasting

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Islamic index market sentiment: evidence from the ASEAN market

Danila

Kamaludin

Sundarasen

et al. 2021

JIABR

View full text Add to dashboard Cite

show abstract

“…Dhaoui namely how investor sentiment can make investor behavior in making investment decisions [23]. He tested investor sentiment in the form of optimistic and pessimistic confidence in the future from the stock market at the level of trade.…”

Section: B Investor Sentiment With Corporate Valuementioning

confidence: 99%

Corporate Social Responsibility (CSR) and Firm Value: The role of investor sentiment in green companies listed on the IDX

Puspitasari¹,

Irawati²,

Prasaja³

et al. 2019

Proceedings of the International Conference on Banking, Accounting, Management, and Economics (ICOBAME 2018)

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This study aims to examine the role of investor sentiment on the relationship between corporate social responsibility and corporate value. Based on the previous literature, CSR which is a positive signal revealed by the company will influence investor sentiment. Investors can make decisions to make investments based on signals from the company. So that it can increase the value of the company. The better the company signal, the more confident investors will be in making investment decisions, which will then have an impact on the company's higher value. The sample used in this study is the green company that is listed on the IDX as many as 12 companies. By using a regression panel data analysis, the result is CSR disclosures can increase the value of the company through the mediating role of investor sentiment.

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“…Furthermore, this is the micro basis of the formation of price bubbles and the non-rational characteristics of China's A-share market. Based on the volume-volatility relationship and China's A-share market practice, trading volume is the leading indicator of price, which is more important than other technical indicators (Dhaoui, 2015). Hence, rational investors usually predicate future price tendency mainly according to trading volume.…”

Section: Financial Reporting Indicators Financial Reporting Indicatomentioning

confidence: 99%

Selecting a better valuation model to measure bubble level of stocks price: empirical study from internet-based finance stocks in A-share market

Zhao

Sun

Xiao

et al. 2018

Economic Research-Ekonomska Istraživanja

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As a star of emerging industries in China, internet-based finance has been developing rapidly. This paper, considers selecting a more suitable valuation model to measure the intrinsic value and price bubble of Internet-based Finance stocks. By comparing the relative valuation accuracy of the Kim et al. model with the Frankel-Lee model and the F-O model applied in the prior studies, this study finds that the Kim et al. model highlights the industry-specific features and outperforms other models in interpreting stocks price variation. Especially, under the circumstance of soaring and slumping stocks price variation (e.g. 2015), it is essential to study the price bubbles of internetbased finance stocks at different points of Shanghai Stock Exchange Composite Index. Surprisingly, our empirical results suggest that the internet-based finance stocks have negative bubbles at the whole average level, and about half of them are undervalued. Moreover, there are positive correlations between the bubble level and three key factors including the trading volume, the price to book ratio and whether to do cross-industry business on internet-based finance. These findings imply that the Kim et al. model contributes to improving valuation accuracy of internet-based finance stocks and explainability of the price bubbles in A-share market.

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

Cited by 4 publications

References 46 publications

Islamic index market sentiment: evidence from the ASEAN market

Islamic index market sentiment: evidence from the ASEAN market

Corporate Social Responsibility (CSR) and Firm Value: The role of investor sentiment in green companies listed on the IDX

Selecting a better valuation model to measure bubble level of stocks price: empirical study from internet-based finance stocks in A-share market

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