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This dissertation is submitted for the degree of Master of Science (MSc) in Banking & Finance at the International Hellenic University. This research investigates the presence of behavioral finance phenomena in five members of the European Union known as PIIGS (Portugal, Italy, Ireland, Greece, and Spain). According to the behavioral finance point of view it is easier to comprehend how investors will counteract. To elaborate, the paper provides evidence for empirical testing including four independent variables on the variability of trading volume. Daily returns of the PSI – 20 Index (Portugal Stock Exchange), the FTSEMIB Index (Italian Stock Exchange), the Irish Stock Exchange named ISEQ 20, the General Index of Athens Stock Exchange and the IBEX35 Index (Spanish Stock Exchange) are reported. In the sample, data for five different capital markets over the period from January 01, 2010 to December 31, 2015 were analyzed. Our approach in the analysis suggests that investor’s decision making process is influenced by both psychological and emotional factors. Moreover, business is affected by investor’s illogical behavior so the assumption can be discarded for the considered markets. I would like to take this opportunity to express my gratitude to everyone who supported me throughout my Master’s in Banking and Finance. My sincere appreciation to my supervisor, Prof. Christos Alexakis for his precious instructions and assistance. Furthermore, I would like to thank all my professors. Thus, I would like to thank my beloved family for supporting me.