Open AccessEtude Empirique De L’effet Du Comportement D’exces De Confiance Sur La Volatilite Du Marche Boursier Marocain
Author(s) -
Nabil Sifouh,
Khadija Oubal,
Sara Bayoud
Publication year - 2018
Publication title -
european scientific journal
Language(s) - English
Resource type - Journals
eISSN - 1857-7881
pISSN - 1857-7431
DOI - 10.19044/esj.2018.v14n31p82
Subject(s) - economics , overconfidence effect , volatility (finance) , econometrics , psychology , social psychology
The purpose of this paper is to measure whether the investor operating on the Casablanca Stock Exchange displays a behavior of overconfidence, and to examine, under this hypothesis, the role of overconfidence in the explanation of fluctuations in the value of the MASI benchmark index over a 16-year period from 2002 to 2017. Using the econometric techniques in terms of causality and conditional volatility modeling, the results of this research show the presence of the overconfidence behavior and the positive effect of the latter on the conditional volatility of the monthly return of the MASI index.