:: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies
FEATURE PEER-REVIEWED ARTICLE
Sami Uddin, Faid Gul, Fauzia Mubarik (Faculty of Management Sciences National University of Modern Languages, PAKISTAN).
Disciplinary: Finance (Behavioral Finance, Corporate Finance).
Keywords: Anomaly; heuristics; Vector Autoregression; Granger causality test; Market reactions; Exogeneity Wald test; Stock trading.
Overconfidence in investors is generally associated with stock valuations and stock trading. High trading volumes represent biased self-attribution and self-overconfidence. Moreover, biased self-attribution leads to varying levels of overconfidence as compared to previous market returns. We test this proposition in the south Asian stock markets (Karachi stock exchange (Pakistan), Dhaka stock exchange (Bangladesh), and Bombay stock exchange (India)) in contrast to the U.S stock market (the Dow Jones Industrial average). The sample comprises corresponding index values from 2009-2018. Using Vector Auto Regression (VAR) and Granger causality tests for our analysis, this study confirms that previous returns significantly cause excessive stock trading in Pakistani, Bangladeshi, and U.S stock markets when returns dispersion and returns volatility are controlled.
Paper ID: 12A7U
Cite this article:
Uddin, S., Gul, F., Mubarik, F. (2021). Overconfidence Bias across Countries: Evidence from South Asian Stock Markets. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 12(7), 12A7U, 1-12. http://doi.org/10.14456/ITJEMAST.2021.147