Turnover tales: Investigating investor biases through the return−volume dynamics in the Indian stock market

IF 1.6 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2026-06-01 Epub Date: 2026-05-14 DOI:10.1016/j.iimb.2026.100672

Mirabel Josephine Paul, Madhumathi Rajendran

引用次数: 0

Abstract

This study investigates overconfidence and disposition effect biases in the Indian stock market using return−volume relationships as a proxy. Employing vector autoregression and a modified quantile autoregressive model with asymmetric distributed lags, the study examines how behavioural biases vary across trading volume regimes over five years, spanning pre-COVID-19, during COVID-19, and post-COVID-19 crisis periods. Sectoral analysis reveals that overconfidence effects are strongest during high-volume trading in information-intensive sectors such as media and metal, while energy exhibits pronounced loss aversion patterns. Results demonstrate significant evidence of these biases across all periods, with severity influenced by temporal uncertainty, volume-dependent market conditions, information inflow, and increased heuristic usage during market turmoil.

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周转故事：通过印度股票市场的回报-成交量动态调查投资者偏见

本研究以回报-成交量关系为代理，考察了印度股市的过度自信和处置效应偏差。该研究采用矢量自回归和具有不对称分布滞后的改进分位数自回归模型，研究了五年内（包括COVID-19前、COVID-19期间和COVID-19危机后）不同交易量制度下行为偏差的变化。行业分析显示，在媒体和金属等信息密集型行业的高交易量交易中，过度自信的影响最为强烈，而能源行业则表现出明显的损失厌恶模式。结果表明，这些偏差在所有时期都存在，其严重程度受到时间不确定性、数量依赖的市场条件、信息流入以及市场动荡期间启发式使用增加的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.