Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX
The research paper entitled “Investor sentiments and trading volume’s asymmetric response: A non linear ARDL approach tested in PSX” is an attempt to investigate the dynamic linkages between trading volume and investor sentiments for Pakistan Stock Exchange (PSX) 100 index. Two sentiments indicators...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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CSRC Publishing
2019-06-01
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| Series: | Journal of Accounting and Finance in Emerging Economies |
| Subjects: | |
| Online Access: | http://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/720 |
| _version_ | 1818353536304414720 |
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| author | Irum Saba Maria Shams Khakwani Rehana Kouser Abdul Wahab |
| author_facet | Irum Saba Maria Shams Khakwani Rehana Kouser Abdul Wahab |
| author_sort | Irum Saba |
| collection | DOAJ |
| description | The research paper entitled “Investor sentiments and trading volume’s asymmetric response: A non linear ARDL approach tested in PSX” is an attempt to investigate the dynamic linkages between trading volume and investor sentiments for Pakistan Stock Exchange (PSX) 100 index. Two sentiments indicators have been used to enlighten the linkages. These indicators are overconfidence and net optimism and pessimism. Trading volume has been used as a proxy for the measurement of market liquidity. Non-Linear Asymmetric Autoregressive Distributed Lag (NARDL) as well as Dynamic Conditional Correlation (DCC) GARCH have been used to explain the dynamic linkages between trading volume and investor sentiments. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment as well as upcoming three-year correlation have been forecasted between the trading volume and investor sentiments. In the short term, stock market liquidity reacts rapidly and asymmetrically to changes in overconfidence sentiment while the net optimism and pessimism sentiment have insignificant short-term impact on trading volume. |
| first_indexed | 2024-12-13T19:11:05Z |
| format | Article |
| id | doaj.art-49e4cd78c3ed433f8f86700c35e997af |
| institution | Directory Open Access Journal |
| issn | 2519-0318 2518-8488 |
| language | English |
| last_indexed | 2024-12-13T19:11:05Z |
| publishDate | 2019-06-01 |
| publisher | CSRC Publishing |
| record_format | Article |
| series | Journal of Accounting and Finance in Emerging Economies |
| spelling | doaj.art-49e4cd78c3ed433f8f86700c35e997af2022-12-21T23:34:24ZengCSRC PublishingJournal of Accounting and Finance in Emerging Economies2519-03182518-84882019-06-015110.26710/jafee.v5i1.720Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSXIrum Saba0Maria Shams Khakwani1Rehana Kouser2Abdul Wahab3Assistant Professor, IBA Karachi, Pakistan.Lecturer, Institute of Management Sciences, The Women University, Multan, Pakistan.Professor, Department of Commerce, Bahauddin Zakariya University, Multan, Pakistan.MPhil Scholar, Department of Commerce, Bahauddin Zakariya University, Multan, Pakistan.The research paper entitled “Investor sentiments and trading volume’s asymmetric response: A non linear ARDL approach tested in PSX” is an attempt to investigate the dynamic linkages between trading volume and investor sentiments for Pakistan Stock Exchange (PSX) 100 index. Two sentiments indicators have been used to enlighten the linkages. These indicators are overconfidence and net optimism and pessimism. Trading volume has been used as a proxy for the measurement of market liquidity. Non-Linear Asymmetric Autoregressive Distributed Lag (NARDL) as well as Dynamic Conditional Correlation (DCC) GARCH have been used to explain the dynamic linkages between trading volume and investor sentiments. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment as well as upcoming three-year correlation have been forecasted between the trading volume and investor sentiments. In the short term, stock market liquidity reacts rapidly and asymmetrically to changes in overconfidence sentiment while the net optimism and pessimism sentiment have insignificant short-term impact on trading volume.http://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/720Investor SentimentsARDLPSXAsymmetricNARDL |
| spellingShingle | Irum Saba Maria Shams Khakwani Rehana Kouser Abdul Wahab Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX Journal of Accounting and Finance in Emerging Economies Investor Sentiments ARDL PSX Asymmetric NARDL |
| title | Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX |
| title_full | Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX |
| title_fullStr | Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX |
| title_full_unstemmed | Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX |
| title_short | Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX |
| title_sort | investor sentiments and trading volume s asymmetric response a non linear ardl approach tested in psx |
| topic | Investor Sentiments ARDL PSX Asymmetric NARDL |
| url | http://publishing.globalcsrc.org/ojs/index.php/jafee/article/view/720 |
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