Investor Overconfidence and Trading Volume

Abstract

and the PACAP/FMA and EFA conferences. Meir Statman acknowledges support from the Dean Witter Foundation. We thank Greg Adams for database support.

Testing overconfidence bias in Pakistani stock market

“…Market-wide panel VAR model is used as econometric technique to check the relationship between return and turnover (Statman et al, 2006). VAR results indicated that historical market return is negatively related with turnover which is strong indication of overconfidence.…”

“…So investor overconfidence is one factor which leads to excessive trading. For example, Statman, Thorley, and Vorkink (2006) concluded that turnovers and lag returns predict future returns and this was found in trading levels. Overconfident investors often experience significant losses and expenses (Odean, 1998).…”

“…This research focuses on the interaction between turnover and overconfidence (Statman et al, 2006). Overconfidence bias is considered as an important factor which affects trading puzzles in the financial market.…”

“…In case of overconfidence, the study focused on VAR model and impulse response (Chuang & Susmel, 2011;Griffin, Nardari, & Stulz, 2007;Metwally & Darwish, 2015;Statman et al, 2006) where relation between markets return and turnover is under consideration. Several studies argue that historical success stimulates the overconfidence and when a success is relating with private information especially.…”

Determinants of Market Liquidity: Evidence from the Jordanian Stock Market

“…8, No. 10;2016 With regard to the market trend variables, recently rising and falling markets, it is expected that market liquidity will increase following the increase in the past market moves and vice versa, which may be due to the contrarian, momentum or overconfidence theories (see, e.g., Chordia et al, 2001;Gervais & Odean, 2001;Statman et al, 2006;Glaser & Weber, 2009). However, our results provide inconclusive evidence.…”