Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX

  • Irum Saba Assistant Professor, IBA Karachi, Pakistan.
  • Maria Shams Khakwani Lecturer, Institute of Management Sciences, The Women University, Multan, Pakistan.
  • Rehana Kouser Professor, Department of Commerce, Bahauddin Zakariya University, Multan, Pakistan.
  • Abdul Wahab MPhil Scholar, Department of Commerce, Bahauddin Zakariya University, Multan, Pakistan.
DOI: https://doi.org/10.26710/jafee.v5i1.720
Keywords: Investor Sentiments, ARDL, PSX, Asymmetric, NARDL

Abstract

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.

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Journal of Accounting and Finance in Emerging Economies
Published
2019-06-30
How to Cite
Irum Saba, Maria Shams Khakwani, Rehana Kouser, & Abdul Wahab. (2019). Investor Sentiments and Trading Volume’s Asymmetric Response: a Non-linear ARDL Approach Tested in PSX. Journal of Accounting and Finance in Emerging Economies, 5(1), 47-56. https://doi.org/10.26710/jafee.v5i1.720
Issue
Vol 5 No 1 (2019): Journal of Accounting and Finance in Emerging Economies
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Articles

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