An Examination of Herding Behavior in the Brazilian Equity Market

Detalhes bibliográficos
Autor(a) principal: Signorelli, Patrícia
Data de Publicação: 2021
Outros Autores: Camilo-da-Silva, Eduardo, Barbedo, Claudio Henrique
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/652
Resumo: The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.
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spelling An Examination of Herding Behavior in the Brazilian Equity MarketUma análise do Efeito Manada no Mercado de Ações BrasileiroHerd BehaviorMarket MicrostructureBehavioral FinanceEfeito manadaMicroestrutura de MercadoFinanças ComportamentaisThe aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.O objetivo do presente estudo é investigar o efeito manada no mercado de ações brasileiro. Esse viés é bastante comum em tempos de desaceleração do mercado e pode fazer com que os investidores sofram grandes perdas. É muito difícil identificar com eficácia sua real ocorrência. Através do método de Chang et al. (2000), é possível evidenciar que a presença do comportamento de manada está associada aos seguintes fenômenos: alto volume de negócios; alta volatilidade, desaceleração do mercado; e desequilíbrio de ordens de negociação. A principal contribuição do artigo é identificar que o comportamento de manada reage assimetricamente ao sinal de choques passados. Os resultados sugerem que um movimento intenso de vendas pode gerar incerteza nos agentes, fazendo-os imitar os demais em períodos de perda iminente.FUCAPE Business Shool2021-03-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/65210.15728/bbr.2021.18.3.1Brazilian Business Review; Vol. 18 No. 3 (2021): May to June 2021; 236-254Brazilian Business Review; v. 18 n. 3 (2021): Maio a Junho de 2021; 236-2541808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/652/984http://www.bbronline.com.br/index.php/bbr/article/view/652/985Copyright (c) 2021 Brazilian Business Reviewhttp://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessSignorelli, PatríciaCamilo-da-Silva, EduardoBarbedo, Claudio Henrique2021-05-14T18:17:26Zoai:ojs.pkp.sfu.ca:article/652Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2021-05-14T18:17:26BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv An Examination of Herding Behavior in the Brazilian Equity Market
Uma análise do Efeito Manada no Mercado de Ações Brasileiro
title An Examination of Herding Behavior in the Brazilian Equity Market
spellingShingle An Examination of Herding Behavior in the Brazilian Equity Market
Signorelli, Patrícia
Herd Behavior
Market Microstructure
Behavioral Finance
Efeito manada
Microestrutura de Mercado
Finanças Comportamentais
title_short An Examination of Herding Behavior in the Brazilian Equity Market
title_full An Examination of Herding Behavior in the Brazilian Equity Market
title_fullStr An Examination of Herding Behavior in the Brazilian Equity Market
title_full_unstemmed An Examination of Herding Behavior in the Brazilian Equity Market
title_sort An Examination of Herding Behavior in the Brazilian Equity Market
author Signorelli, Patrícia
author_facet Signorelli, Patrícia
Camilo-da-Silva, Eduardo
Barbedo, Claudio Henrique
author_role author
author2 Camilo-da-Silva, Eduardo
Barbedo, Claudio Henrique
author2_role author
author
dc.contributor.author.fl_str_mv Signorelli, Patrícia
Camilo-da-Silva, Eduardo
Barbedo, Claudio Henrique
dc.subject.por.fl_str_mv Herd Behavior
Market Microstructure
Behavioral Finance
Efeito manada
Microestrutura de Mercado
Finanças Comportamentais
topic Herd Behavior
Market Microstructure
Behavioral Finance
Efeito manada
Microestrutura de Mercado
Finanças Comportamentais
description The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.
publishDate 2021
dc.date.none.fl_str_mv 2021-03-30
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/652
10.15728/bbr.2021.18.3.1
url http://www.bbronline.com.br/index.php/bbr/article/view/652
identifier_str_mv 10.15728/bbr.2021.18.3.1
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/652/984
http://www.bbronline.com.br/index.php/bbr/article/view/652/985
dc.rights.driver.fl_str_mv Copyright (c) 2021 Brazilian Business Review
http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Brazilian Business Review
http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 18 No. 3 (2021): May to June 2021; 236-254
Brazilian Business Review; v. 18 n. 3 (2021): Maio a Junho de 2021; 236-254
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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