Study of Stock Markets and Investor Behaviour: Case of the Casablanca Stock Exchange
DOI:
https://doi.org/10.31695/IJASRE.2021.33988Keywords:
Behavioural finance, Investor sentiment, Stock market crises, Financial EconometricsAbstract
The emergence of a new stream of research, behavioral finance, linking market behavior and human psychology, seeking to study cognitive biases related to investor behavior that are not explained by traditional financial theory, has opened up several avenues of research related to the behavior of stock market actors and their effects on stock markets. Our empirical study focuses, on the one hand, on the identification of the stock market crises that affected the Casablanca Stock Exchange during the period 2000-2020 and, on the other hand, on the measurement of investors' sentiment on the Moroccan stock market, to verify that the indicator of investors' sentiment is consistent with stock market crises and to find that investors' sentiment is at the origin of the Moroccan stock market crises as defined by Granger. This provides new evidence on the important role played by investor sentiment in the transmission of stock market crises.
References
D. Kahneman and A. Tversky, “Prospect Theory: An Analysis of Decision under Risk,” Source Econom., vol. 47, no. 2, pp. 263–292, 1979.
Fischer Black, “Noise,” J. Finance, vol. XLI, no. 3, pp. 528–543, 1986.
D. L. J. Bradford, A. Shleifer, S. Lawrence H., and J. W. Robert, “Noise Trader Risk in Financial Markets,” J. Polit. Econ., vol. 98, no. 4, pp. 703–738, 1990.
K. Daniel, D. Hirshleifer, and A. Subrahmanyam, “Investor psychology and security market under- and overreactions,” J. Finance, vol. 53, no. 6, pp. 1839–1885, 1998.
N. Barberis, A. Shleifer, and R. W. Vishny, “A model of investor sentiment,” Adv. Behav. Financ., vol. 2, pp. 423–459, 1998.
Shiller, RJ, “‘Do Stock Prices Move too much to be justified by Subsequent Changes in Dividend,’” Am. Econ. Rev., vol. 71, no. 3, pp. 421–436, 1981.
R. Shiller, “Inneficient markets: An introduction to behavioral finance.,” J. bussines1, pp. 173–174, 2000.
R. Thaler, “The end of Behavioral Finance,” Pap. Assoc. Invest. Manag. Res., 1999.
M. Mangot, Les Comportements en Bourse : 6 Erreurs Psychologiques qui Coûtent Cher. 2004.
R. Thaler, “Advances in Behavioral Finance,” Russel Sage Found. , New York, vol. 1, 1993.
G. Linter, “What are the Destinctive Features of Behavioral Finance as Applied to Individual Investor’s Desicion-making ?,” Int. Proc. Econ. Dev. Res., vol. 21, p. 19, 1998.
O. Robert, “Behavioral Finance and Its Implications for Stock-Price Volatility,” Financ. Anal. J., vol. 54, pp. 8–10, 1998.
J. S. Robert, “From Efficient Markets Theory to Behavioral Finance,” J. Econ. Perspect., vol. 17, no. 1, pp. 83–104, 2003.
S. Martin, “Behavioural finance,” Univ. Cambridge, no. May, pp. 1–14, 2007.
G. Coudret and Gex.M, “Does risk Aversion Drive Financial Crises ? Testing the predictive power of Empirical Indicator,” Cent. d’études Prospect. d’informations Int., 2006.
M. Reggiani, “Risque de bulle financière sur le marché américain des actions : analyse fondamentale de grosses capitalisations boursières et comparaison historique,” Haute Ec. Gest. Génève, 2018.
K. . Fisher and M. Statman, “Consumer Confidence and Stock Returns,” J. Portf. Manag., pp. 115–127, 2003.
G. W. Brown and M. T. Cliff, “Investor sentiment and the near-term stock market,” J. Empir. Financ., vol. 11, no. 4, pp. 627–628, 2004.
D. and W. A. F. DAVID A, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, vol. 49, no. 4, pp. 1057–1072, 1981.
D. David A and F. Wayne A, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” J. Am. Stat. Assoc., vol. 74, no. 336a, pp. 427–431, 1979.
O.-L. Michael, “A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bull. Econ. Stat., vol. 54, no. 3, pp. 461–472, 1992.
C. J. W. Granger, “Investigating Causal Relations by Econometric Models and Cross-spectral Methods,” Econometrica, vol. 37, no. 3, pp. 424–438, 1969.
Downloads
How to Cite
Issue
Section
License
Copyright (c) 2021 Nabil Dahhou, Dahhou Nabil

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.