期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2019
卷号：10
期号：1
页码：73-86
DOI：10.32479/ijefi.8920
出版社：EconJournals
摘要：Theoretically, investors are considered to be rational decision makers in regards to trading in stock markets, however, some empirical studies have statistically discredited this believe. Evidence shows that investors seem to act irrationally in the financial markets. This research, therefore, aims to empirically investigate investor’s irrational behavior, specifically, overconfidence behavior in the Saudi stock market, Tadawul. The data under investigation is from 2007 to 2018, monthly based. According to previous research, positive past market returns influence the level of investors’ overconfidence leading to higher trading turnover in stock markets. To test for overconfidence behavior, a market-wide Vector autoregression (VAR) model is designed to investigate the lead-lag relationship between market returns and market turnover. The results obtained in this research suggest that investors in the Saudi stock market are overconfident.
关键词：Behavioral Finance; overconfidence bias; stock market; VAR
