An Examination of Herding Behavior in the Brazilian Equity Market
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | , |
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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BBR. Brazilian Business Review (English edition. Online) |
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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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1754732239682273280 |