Atenção do investidor e o comportamento dos mercados acionários
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Manancial - Repositório Digital da UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/28795 |
Resumo: | The close connection between information and the price of an asset has long been discussed in the financial literature. In order for information to be incorporated into the asset price, investors must pay sufficient attention to the market. However, individuals have scarce cognitive abilities, and since there is a large amount of information, they tend to be selective and pay limited attention to their choices. So, investor attention should play an important role in capital markets. This relationship is potentially affected by the economic, cultural and regulatory characteristics of the markets, and by the existing informational advantages between local and non-local investors. Given this context, the objective of this research is to detect and measure how the attention of investors, with different levels of informational advantage (local and nonlocal), impacts return, volatility and trading volume, in capital markets of countries emerging and developed. To this end, closing price and volume data were collected from the main stock exchange indices for ten developed markets (Germany, Canada, Spain, United States, France, Holland, Italy, Japan, United Kingdom and Switzerland) and ten emerging markets. (South Africa, Brazil, China, India, Indonesia, Malaysia, Mexico, Pakistan, Russia and Turkey). To construct measures of local and non-local investor attention, Google Trends search volume was used, which tracks the volume of queries for each term/word during a given period of time and geographic location. The collection period was from January 2017 to December 2021 for the main models, and from January 2015 to December 2019 for the robustness tests. Based on these data, the characteristics of each variable were examined and a Panel vector autoregression model was used in six panels. From these, causal relationships and temporal precedence were estimated, impulse response functions and variance decompositions were generated to determine the impact of investor attention on return, volatility and trading volume. The empirical evidence found converges with the investor recognition hypothesis and indicated that local and foreign attention measures significantly affected return, volatility and abnormal trading volume. As far as market development is concerned, it has been found that stock exchanges in developed markets are more responsive to attention than those in emerging markets. The results also showed that it is not possible to attribute an informational advantage to local investors in relation to non-local ones. |
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Atenção do investidor e o comportamento dos mercados acionáriosInvestor attention and the behavior of stock marketsAtenção do investidorMercado de capitaisEficiência informacionalInvestor attentionStock marketInformational efficiencyCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThe close connection between information and the price of an asset has long been discussed in the financial literature. In order for information to be incorporated into the asset price, investors must pay sufficient attention to the market. However, individuals have scarce cognitive abilities, and since there is a large amount of information, they tend to be selective and pay limited attention to their choices. So, investor attention should play an important role in capital markets. This relationship is potentially affected by the economic, cultural and regulatory characteristics of the markets, and by the existing informational advantages between local and non-local investors. Given this context, the objective of this research is to detect and measure how the attention of investors, with different levels of informational advantage (local and nonlocal), impacts return, volatility and trading volume, in capital markets of countries emerging and developed. To this end, closing price and volume data were collected from the main stock exchange indices for ten developed markets (Germany, Canada, Spain, United States, France, Holland, Italy, Japan, United Kingdom and Switzerland) and ten emerging markets. (South Africa, Brazil, China, India, Indonesia, Malaysia, Mexico, Pakistan, Russia and Turkey). To construct measures of local and non-local investor attention, Google Trends search volume was used, which tracks the volume of queries for each term/word during a given period of time and geographic location. The collection period was from January 2017 to December 2021 for the main models, and from January 2015 to December 2019 for the robustness tests. Based on these data, the characteristics of each variable were examined and a Panel vector autoregression model was used in six panels. From these, causal relationships and temporal precedence were estimated, impulse response functions and variance decompositions were generated to determine the impact of investor attention on return, volatility and trading volume. The empirical evidence found converges with the investor recognition hypothesis and indicated that local and foreign attention measures significantly affected return, volatility and abnormal trading volume. As far as market development is concerned, it has been found that stock exchanges in developed markets are more responsive to attention than those in emerging markets. The results also showed that it is not possible to attribute an informational advantage to local investors in relation to non-local ones.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPESA estreita ligação entre a informação e o preço de um ativo é há muito tempo abordada na literatura financeira. Para que a informação seja incorporada ao preço do ativo, os investidores devem prestar atenção suficiente ao mercado. Entretanto, os indivíduos têm habilidades cognitivas escassas, e como há uma grande quantidade de informações, tendem a ser seletivos e dedicar uma atenção limitada às suas escolhas. Logo, a atenção do investidor deve desempenhar um papel importante nos mercados de capitais. Essa relação é potencialmente afetada pelas características econômicas, culturais e regulatórias dos mercados, e pelas vantagens informacionais existentes entre investidores locais e não-locais. Dado esse contexto, o objetivo dessa pesquisa foi detectar e mensurar como a atenção de investidores, com diferentes níveis de vantagem informacional (locais e não-locais), impacta o retorno, a volatilidade e o volume de negociação, em mercados de capitais de países emergentes e desenvolvidos. Para tal, foram coletados dados de preço de fechamento e volume dos principais índices das bolsas de valores para dez mercados desenvolvidos (Alemanha, Canadá, Espanha, Estados Unidos, França, Holanda, Itália, Japão, Reino Unido e Suíça) e dez mercados emergentes (África do Sul, Brasil, China, Índia Indonésia, Malásia, México, Paquistão, Rússia e Turquia). Para construir as medidas de atenção local e não-local do investidor, foi utilizado o volume de buscas no Google Trends que rastreia o volume de consultas para cada termo/palavra durante um determinado período de tempo e uma localização geográfica. O período de coleta foi de janeiro de 2017 a dezembro de 2021 para os modelos principais, e de janeiro de 2015 a dezembro de 2019 para os testes de robustez. A partir desses dados foram examinadas as características de cada variável e empregado um modelo Panel vector autorregression em seis painéis. A partir destes foram estimadas as relações de causa e precedência temporal, geradas funções de resposta a impulso e decomposições de variância para determinar o impacto da atenção do investidor sobre o retorno, a volatilidade e o volume de negociação. As evidências empíricas encontradas convergem com a hipótese de reconhecimento do investidor e indicaram que as medidas de atenção local e estrangeira afetaram significativamente o retorno, a volatilidade e o volume anormal de negócios. No que tange ao desenvolvimento dos mercados, foi verificado que as bolsas de valores nos mercados desenvolvidos reagem mais a atenção do que as dos mercados emergentes. Os resultados ainda evidenciaram que não é possível atribuir uma vantagem informacional dos investidores locais em relação aos não-locais.Universidade Federal de Santa MariaBrasilAdministraçãoUFSMPrograma de Pós-Graduação em AdministraçãoCentro de Ciências Sociais e HumanasCeretta, Paulo Sergiohttp://lattes.cnpq.br/3049029014914257Souza, Adriano MendonçaAmbrozini, Marcelo AugustoEnde, Marta VonPimenta Júnior, TabajaraMarschner, Paulo Fernando2023-04-24T15:51:32Z2023-04-24T15:51:32Z2023-03-29info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisapplication/pdfhttp://repositorio.ufsm.br/handle/1/28795porAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSM2023-04-24T15:51:32Zoai:repositorio.ufsm.br:1/28795Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2023-04-24T15:51:32Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.none.fl_str_mv |
Atenção do investidor e o comportamento dos mercados acionários Investor attention and the behavior of stock markets |
title |
Atenção do investidor e o comportamento dos mercados acionários |
spellingShingle |
Atenção do investidor e o comportamento dos mercados acionários Marschner, Paulo Fernando Atenção do investidor Mercado de capitais Eficiência informacional Investor attention Stock market Informational efficiency CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Atenção do investidor e o comportamento dos mercados acionários |
title_full |
Atenção do investidor e o comportamento dos mercados acionários |
title_fullStr |
Atenção do investidor e o comportamento dos mercados acionários |
title_full_unstemmed |
Atenção do investidor e o comportamento dos mercados acionários |
title_sort |
Atenção do investidor e o comportamento dos mercados acionários |
author |
Marschner, Paulo Fernando |
author_facet |
Marschner, Paulo Fernando |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ceretta, Paulo Sergio http://lattes.cnpq.br/3049029014914257 Souza, Adriano Mendonça Ambrozini, Marcelo Augusto Ende, Marta Von Pimenta Júnior, Tabajara |
dc.contributor.author.fl_str_mv |
Marschner, Paulo Fernando |
dc.subject.por.fl_str_mv |
Atenção do investidor Mercado de capitais Eficiência informacional Investor attention Stock market Informational efficiency CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Atenção do investidor Mercado de capitais Eficiência informacional Investor attention Stock market Informational efficiency CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The close connection between information and the price of an asset has long been discussed in the financial literature. In order for information to be incorporated into the asset price, investors must pay sufficient attention to the market. However, individuals have scarce cognitive abilities, and since there is a large amount of information, they tend to be selective and pay limited attention to their choices. So, investor attention should play an important role in capital markets. This relationship is potentially affected by the economic, cultural and regulatory characteristics of the markets, and by the existing informational advantages between local and non-local investors. Given this context, the objective of this research is to detect and measure how the attention of investors, with different levels of informational advantage (local and nonlocal), impacts return, volatility and trading volume, in capital markets of countries emerging and developed. To this end, closing price and volume data were collected from the main stock exchange indices for ten developed markets (Germany, Canada, Spain, United States, France, Holland, Italy, Japan, United Kingdom and Switzerland) and ten emerging markets. (South Africa, Brazil, China, India, Indonesia, Malaysia, Mexico, Pakistan, Russia and Turkey). To construct measures of local and non-local investor attention, Google Trends search volume was used, which tracks the volume of queries for each term/word during a given period of time and geographic location. The collection period was from January 2017 to December 2021 for the main models, and from January 2015 to December 2019 for the robustness tests. Based on these data, the characteristics of each variable were examined and a Panel vector autoregression model was used in six panels. From these, causal relationships and temporal precedence were estimated, impulse response functions and variance decompositions were generated to determine the impact of investor attention on return, volatility and trading volume. The empirical evidence found converges with the investor recognition hypothesis and indicated that local and foreign attention measures significantly affected return, volatility and abnormal trading volume. As far as market development is concerned, it has been found that stock exchanges in developed markets are more responsive to attention than those in emerging markets. The results also showed that it is not possible to attribute an informational advantage to local investors in relation to non-local ones. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-04-24T15:51:32Z 2023-04-24T15:51:32Z 2023-03-29 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://repositorio.ufsm.br/handle/1/28795 |
url |
http://repositorio.ufsm.br/handle/1/28795 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Brasil Administração UFSM Programa de Pós-Graduação em Administração Centro de Ciências Sociais e Humanas |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Brasil Administração UFSM Programa de Pós-Graduação em Administração Centro de Ciências Sociais e Humanas |
dc.source.none.fl_str_mv |
reponame:Manancial - Repositório Digital da UFSM instname:Universidade Federal de Santa Maria (UFSM) instacron:UFSM |
instname_str |
Universidade Federal de Santa Maria (UFSM) |
instacron_str |
UFSM |
institution |
UFSM |
reponame_str |
Manancial - Repositório Digital da UFSM |
collection |
Manancial - Repositório Digital da UFSM |
repository.name.fl_str_mv |
Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM) |
repository.mail.fl_str_mv |
atendimento.sib@ufsm.br||tedebc@gmail.com |
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1805922029509017600 |