Dhaoui, Abderrazak; Bacha, Sami - In: Cogent economics & finance 5 (2017) 1, pp. 1-13
This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...