Open AccessThe Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange
Author(s) -
Mondher Kouki,
Mosbeh Hsini
Publication year - 2016
Publication title -
business and economic research
Language(s) - English
Resource type - Journals
ISSN - 2162-4860
DOI - 10.5296/ber.v6i2.9326
Subject(s) - economics , market capitalization , stock exchange , financial economics , portfolio , econometrics , stock market , stock (firearms) , capital market , capitalization , efficient market hypothesis , stock market index , behavioral economics , stock market bubble , emerging markets , geography , microeconomics , finance , linguistics , context (archaeology) , philosophy , archaeology
This paper examines the behavioral bias in Tunisia, a country with a small stock market in terms of capital, but surprisingly dynamic in comparison to other emerging markets. Our study is consistent with Jegadeesh & Titman (1993)’ approach as presented to highlight an analysis of such reversal phenomena of portfolio returns, and provides explanatory factors to the so-called market trends reversal. The empirical investigation is based on a weekly database for a period from January 2002 to January 2013 related to stock prices and index values of market capitalization (TUNINDEX). The empirical test demonstrates the existence of winner-loser phenomenon in accordance with over-reaction hypothesis stating that portfolios with the worst past performance outperform, during the subsequent periods, those having produced best past performance and vice versa.