Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/308660 
Year of Publication: 
2016
Citation: 
[Journal:] Dutch Journal of Finance and Management [ISSN:] 2542-4750 [Volume:] 1 [Issue:] 1 [Article No.:] 39 [Year:] 2016 [Pages:] 1-14
Publisher: 
Lectito Journals, The Hague
Abstract: 
In this paper we examine nine European stock market indices for indication of psychological barriers at round numbers. We test for uniformity in the trailing digits of the indices and use regression and GARCH analysis to assess the differential impact of being above or below a possible barrier. Despite having rejected uniformity for all data series, we only found significant psychological barriers in the stock markets of Germany, Finland and the Netherlands. Moreover, we document that the relationship between risk and return tends to be weaker at the proximity of round numbers which poses a challenge to the traditional equilibrium models.
Subjects: 
psychological barriers
M-values
stock market indices
market psychology
round numbers
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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