Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UFPB |
Texto Completo: | https://repositorio.ufpb.br/jspui/handle/123456789/31383 |
Resumo: | The research aimed to investigate the impact of the COVID-19 pandemic on the Brazilian stock market in terms of herd behavior. The analysis focused primarily on the first 100 days of the pandemic, and then in the first, second, and third waves. The chosen model for this analysis was the cross-sectional absolute deviation (CSAD) proposed by Chang, Cheng, and Khorana (2000). Unlike the cross-sectional standard deviation (CSSD) proposed by Christie and Huang (1995), CSAD is capable of detecting herd behavior under different market conditions, whether stressed or stable. The estimations were conducted using ordinary least squares (OLS) regression and quantile regression. While OLS regression estimates based on the mean of the distribution, quantile regression uses the median which is more robust to outliers and allows for analyzing various points along the distribution. The research was specified as documentary, descriptive, and quantitative. The sample consisted of 144 companies listed on B3 from January 2016 to September 2023. The results indicated that herd behavior was detected in the first 100 days of the pandemic, persisting until the end of the first wave. However, herd behavior was not evident in the second and third waves. It was also observed that the Brazilian market exhibited herd behavior in both bull and bear markets, with a tendency towards bull markets until the end of the first wave of the pandemic. This last result for the first wave was detected using quantile regression, not OLS. In the second and third waves, herd behavior was not evident under asymmetric conditions. |
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Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approachMercado de açõesFinanças comportamentaisEfeito manadaMercado financeiro - COVID-19Regressão quantílicaStock marketBehavioral financeHerding effectFinancial market - COVID-19Quantile regressionCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEISThe research aimed to investigate the impact of the COVID-19 pandemic on the Brazilian stock market in terms of herd behavior. The analysis focused primarily on the first 100 days of the pandemic, and then in the first, second, and third waves. The chosen model for this analysis was the cross-sectional absolute deviation (CSAD) proposed by Chang, Cheng, and Khorana (2000). Unlike the cross-sectional standard deviation (CSSD) proposed by Christie and Huang (1995), CSAD is capable of detecting herd behavior under different market conditions, whether stressed or stable. The estimations were conducted using ordinary least squares (OLS) regression and quantile regression. While OLS regression estimates based on the mean of the distribution, quantile regression uses the median which is more robust to outliers and allows for analyzing various points along the distribution. The research was specified as documentary, descriptive, and quantitative. The sample consisted of 144 companies listed on B3 from January 2016 to September 2023. The results indicated that herd behavior was detected in the first 100 days of the pandemic, persisting until the end of the first wave. However, herd behavior was not evident in the second and third waves. It was also observed that the Brazilian market exhibited herd behavior in both bull and bear markets, with a tendency towards bull markets until the end of the first wave of the pandemic. This last result for the first wave was detected using quantile regression, not OLS. In the second and third waves, herd behavior was not evident under asymmetric conditions.NenhumaA pesquisa buscou investigar como a pandemia de COVID-19 impactou o mercado de ações brasileiro em termos de efeito manada. As análises foram feitas utilizando os 100 primeiros dias da pandemia, primeira, segunda e terceira onda. O modelo escolhido para essa análise foi o cross-sectional absolute deviation (CSAD) proposto por Chang; Cheng; Khorana (2000) pois, diferente do cross-sectional standard deviation (CSSD) proposto por Christie e Huang (1995), o CSAD é capaz de detectar o efeito manada em diferentes condições de mercado, seja num cenário de estresse ou em um de estabilidade. As estimações foram feitas por meio da regressão por MQO e pela regressão quantílica. Essa última, além de mais robusta a outliers por utilizar a mediana, permite analisar vários pontos ao longo da distribuição. Ao contrário da regressão MQO que faz suas estimativas apenas pela média da distribuição. A pesquisa se caracterizou por ser documental, descritiva e quantitativa. A amostra contou com 144 empresas listadas na B3 no período entre janeiro de 2016 a setembro de 2023. Os resultados apontaram que o efeito manada foi detectado nos primeiros 100 dias da pandemia, se estendendo até o fim da primeira onda. Na segunda e terceira ondas o efeito manada não foi evidenciado. Além disso, o mercado brasileiro também apresentou o comportamento manada tanto para mercados de alta como de baixa, com uma certa tendência para mercados de alta se for considerado o período até o fim da primeira onda da pandemia. Esse último resultado para a primeira onda foi detectado pela regressão quantílica e não por MQO. Na segunda e terceira ondas, não foi evidenciado o efeito manada em condições assimétricas.Universidade Federal da ParaíbaBrasilFinanças e ContabilidadePrograma de Pós-Graduação em Ciências ContábeisUFPBLucena, Wenner Glaucio Lopeshttp://lattes.cnpq.br/8131572207239842Abrahim, Yahmany Fontenelle2024-08-13T10:41:56Z2024-02-012024-08-13T10:41:56Z2023-12-15info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesishttps://repositorio.ufpb.br/jspui/handle/123456789/31383porAttribution-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nd/3.0/br/info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UFPBinstname:Universidade Federal da Paraíba (UFPB)instacron:UFPB2024-08-14T06:06:53Zoai:repositorio.ufpb.br:123456789/31383Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufpb.br/PUBhttp://tede.biblioteca.ufpb.br:8080/oai/requestdiretoria@ufpb.br|| diretoria@ufpb.bropendoar:2024-08-14T06:06:53Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB)false |
dc.title.none.fl_str_mv |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
title |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
spellingShingle |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach Abrahim, Yahmany Fontenelle Mercado de ações Finanças comportamentais Efeito manada Mercado financeiro - COVID-19 Regressão quantílica Stock market Behavioral finance Herding effect Financial market - COVID-19 Quantile regression CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
title_short |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
title_full |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
title_fullStr |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
title_full_unstemmed |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
title_sort |
Beyond average: a study of herding effect in the brazilian stock market during Covid-19 pandemic using a quantile regression approach |
author |
Abrahim, Yahmany Fontenelle |
author_facet |
Abrahim, Yahmany Fontenelle |
author_role |
author |
dc.contributor.none.fl_str_mv |
Lucena, Wenner Glaucio Lopes http://lattes.cnpq.br/8131572207239842 |
dc.contributor.author.fl_str_mv |
Abrahim, Yahmany Fontenelle |
dc.subject.por.fl_str_mv |
Mercado de ações Finanças comportamentais Efeito manada Mercado financeiro - COVID-19 Regressão quantílica Stock market Behavioral finance Herding effect Financial market - COVID-19 Quantile regression CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
topic |
Mercado de ações Finanças comportamentais Efeito manada Mercado financeiro - COVID-19 Regressão quantílica Stock market Behavioral finance Herding effect Financial market - COVID-19 Quantile regression CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS |
description |
The research aimed to investigate the impact of the COVID-19 pandemic on the Brazilian stock market in terms of herd behavior. The analysis focused primarily on the first 100 days of the pandemic, and then in the first, second, and third waves. The chosen model for this analysis was the cross-sectional absolute deviation (CSAD) proposed by Chang, Cheng, and Khorana (2000). Unlike the cross-sectional standard deviation (CSSD) proposed by Christie and Huang (1995), CSAD is capable of detecting herd behavior under different market conditions, whether stressed or stable. The estimations were conducted using ordinary least squares (OLS) regression and quantile regression. While OLS regression estimates based on the mean of the distribution, quantile regression uses the median which is more robust to outliers and allows for analyzing various points along the distribution. The research was specified as documentary, descriptive, and quantitative. The sample consisted of 144 companies listed on B3 from January 2016 to September 2023. The results indicated that herd behavior was detected in the first 100 days of the pandemic, persisting until the end of the first wave. However, herd behavior was not evident in the second and third waves. It was also observed that the Brazilian market exhibited herd behavior in both bull and bear markets, with a tendency towards bull markets until the end of the first wave of the pandemic. This last result for the first wave was detected using quantile regression, not OLS. In the second and third waves, herd behavior was not evident under asymmetric conditions. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-12-15 2024-08-13T10:41:56Z 2024-02-01 2024-08-13T10:41:56Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufpb.br/jspui/handle/123456789/31383 |
url |
https://repositorio.ufpb.br/jspui/handle/123456789/31383 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nd/3.0/br/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Finanças e Contabilidade Programa de Pós-Graduação em Ciências Contábeis UFPB |
publisher.none.fl_str_mv |
Universidade Federal da Paraíba Brasil Finanças e Contabilidade Programa de Pós-Graduação em Ciências Contábeis UFPB |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UFPB instname:Universidade Federal da Paraíba (UFPB) instacron:UFPB |
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Universidade Federal da Paraíba (UFPB) |
instacron_str |
UFPB |
institution |
UFPB |
reponame_str |
Biblioteca Digital de Teses e Dissertações da UFPB |
collection |
Biblioteca Digital de Teses e Dissertações da UFPB |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da UFPB - Universidade Federal da Paraíba (UFPB) |
repository.mail.fl_str_mv |
diretoria@ufpb.br|| diretoria@ufpb.br |
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1809927049705422848 |