Investor Emotional Biases And Trading Volume’s Asymmetric Response: A Non-Linear ARDL Approach Tested In Damascus Securities Exchange

Abstract

This paper investigates the dynamic linkages between trading volume and behavioral biases in the Damascus Securities Exchange, in addition study volatility impact on trading volume in long and short term. Behavioral biases were measured by two indicators herding behavior and ambiguity bias. Non-linear dynamic approach, namely the asymmetric autoregressive distributed lag (NARDL) model, To study the long-term and short-term non-linear connections between behavioral biases, volatility and trading volume. Empirical findings suggested trading volume and behavioral biases using herding behavior and ambiguity bias move in the contrast direction in the long and short run, i.e. herding behavior positively affects, and ambiguity bias negatively affects in the long and short term when using the asymmetry test. While, volatility does not exist in long run, and in short term it had a positive effect on trading volume