The effect of overconfidence behaviour on stock market volatility in Belgium
The purpose of this paper is to measure whether the investor operating on the Brussels Stock Exchange exhibits overconfidence behaviour, and to examine, under this hypothesis, the role of overconfidence in explaining fluctuations in the value of the BEL20 benchmark index over a 22-year period from 03 January 2000 to 21 October 2022. By exploiting econometric techniques in terms of causality and modelling conditional volatility, the results of this research show the presence of the excess confidence feature and its positive effect on the conditional volatility of the daily return of the BEL20 i... Mehr ...
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| Dokumenttyp: | Artikel |
| Erscheinungsdatum: | 2023 |
| Reihe/Periodikum: | Theoretical and Applied Economics, Vol XXX, Iss 3, Pp 131-146 (2023) |
| Verlag/Hrsg.: |
General Association of Economists from Romania
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| Schlagwörter: | excess confidence / volatility / stock returns / volume / gjr-garch / Business / HF5001-6182 / Economic theory. Demography / HB1-3840 / Economics as a science / HB71-74 |
| Sprache: | Englisch |
| Permalink: | https://search.fid-benelux.de/Record/base-28563876 |
| Datenquelle: | BASE; Originalkatalog |
| Powered By: | BASE |
| Link(s) : | https://doaj.org/article/9b3b6c60c16f40a2b2d48ac3c94644e3 |
The purpose of this paper is to measure whether the investor operating on the Brussels Stock Exchange exhibits overconfidence behaviour, and to examine, under this hypothesis, the role of overconfidence in explaining fluctuations in the value of the BEL20 benchmark index over a 22-year period from 03 January 2000 to 21 October 2022. By exploiting econometric techniques in terms of causality and modelling conditional volatility, the results of this research show the presence of the excess confidence feature and its positive effect on the conditional volatility of the daily return of the BEL20 index.