Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 3

anomalies Related Abstracts

3 Trading Volume on the Tunisian Financial Market: An Approach Explaining the Hypothesis of Investors Overconfidence

Authors: Fatma Ismailia, Malek Saihi

Abstract:

This research provides an explanation of exchange incentives on the Tunis stock market from a behavioural point of view. The elucidation of the anomalies of excessive volume of transactions and that of excessive volatility cannot be done without the recourse to the psychological aspects of investors. The excessive confidence has been given the predominant role for the explanation of these phenomena. Indeed, when investors store increments, they become more confident about the precision of their private information and their exchange activities then become more aggressive on the subsequent periods. These overconfident investors carry out the intensive exchanges leading to an increase of securities volatility. The objective of this research is to identify whether the trading volume and the excessive volatility of securities observed on the Tunisian stock market come from the excessive exchange of overconfident investors. We use a sample of daily observations over the period January 1999 - October 2007 and we relied on various econometric tests including the VAR model. Our results provide evidence on the importance to consider the bias of overconfidence in the analysis of Tunis stock exchange specificities. The results reveal that the excess of confidence has a major impact on the trading volume while using daily temporal intervals.

Keywords: Efficiency, rationality, anomalies, Cognitive Biases, overconfidence, trading volume, behavioural finance

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2 Behavioral Finance: Anomalies at Real Markets, Weekday Effect

Authors: Vera Jancurova

Abstract:

The financial theory is dominated by the believe that weekday effect has disappeared from current markets. The purpose of this article is to study anomalies, especially weekday effect, at real markets that disrupt the efficiency of financial markets. The research is based on the analyses of historical daily exchange rates of significant world indices to determine the presence of weekday effects on financial markets. The methodology used for the study is based on the analyzes of daily averages of particular indexes for different time periods. Average daily gains were analyzed for their whole time interval and then for particular five and ten years periods with the aim to detect the presence on current financial markets. The results confirm the presence of weekday effect at the most significant indices - for example: Nasdaq, S & P 500, FTSE 100 and the Hang Seng. It was confirmed that in the last ten years, the weekend effect disappeared from financial markets. However in last year’s the indicators show that weekday effect is coming back. The study shows that weekday effect has to be taken into consideration on financial markets, especially in the past years.

Keywords: Behavioral finance, anomalies, indices, weekday effect

Procedia PDF Downloads 181
1 Evidence of Climate Change from Statistical Analysis of Temperature and Rainfall Data of Kaduna State, Nigeria

Authors: Iliya Bitrus Abaje

Abstract:

This study examines the evidence of climate change scenario in Kaduna State from the analysis of temperature and rainfall data (1976-2015) from three meteorological stations along a geographic transect from the southern part to the northern part of the State. Different statistical methods were used in determining the changes in both the temperature and rainfall series. The result of the linear trend lines revealed a mean increase in average temperature of 0.73oC for the 40 years period of study in the State. The plotted standard deviation for the temperature anomalies generally revealed that years of temperatures above the mean standard deviation (hotter than the normal conditions) in the last two decades (1996-2005 and 2006-2015) were more than those below (colder than the normal condition). The Cramer’s test and student’s t-test generally revealed an increasing temperature trend in the recent decades. The increased in temperature is an evidence that the earth’s atmosphere is getting warmer in recent years. The linear trend line equation of the annual rainfall for the period of study showed a mean increase of 316.25 mm for the State. Findings also revealed that the plotted standard deviation for the rainfall anomalies, and the 10-year non-overlapping and 30-year overlapping sub-periods analysis in all the three stations generally showed an increasing trend from the beginning of the data to the recent years. This is an evidence that the study area is now experiencing wetter conditions in recent years and hence climate change. The study recommends diversification of the economic base of the populace with emphasis on moving away from activities that are sensitive to temperature and rainfall extremes Also, appropriate strategies to ameliorate the scourge of climate change at all levels/sectors should always take into account the recent changes in temperature and rainfall amount in the area.

Keywords: temperature, anomalies, Rainfall, linear trend

Procedia PDF Downloads 142