An Examination of Herding Behavior in the Brazilian Equity Market

Signorelli, Patrícia Fernanda Correia Lima; Silva, Eduardo Camilo da; Barbedo, Cláudio Henrique da Silveira

doi:10.15728/bbr.2021.18.3.1

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Cited by 3 publications

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Lottery Stocks in Brazil: Investigating Risk Premium and Investor Behavior

Sifuentes Rocha,

Laurini

2023

SSRN Journal

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Lottery Stocks in Brazil: Investigating Risk Premium and Investor Behavior

Sifuentes Rocha,

Laurini

2023

SSRN Journal

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Herding Effect of Both Global and Local Crises in BRICS Countries

Tatomir,

Hibiki

2023

Preprint

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Navigating the herd: The dynamics of investor behavior in the Brazilian stock market

Lobão,

Pacheco,

Naia

2024

QFE

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<p>We investigated under-researched dimensions of market-wide herding behavior in the Brazilian stock market using a sample from January 2010 to December 2022. Employing OLS and quantile regressions, we found no evidence of herding in the sample or across market conditions, including return, trading volume, and volatility. However, dynamic analysis via rolling window regressions revealed intermittent herding behavior during various subperiods, including at the onset of the COVID-19 pandemic and around the beginning of the war in Ukraine. Additionally, regression results differentiate between herding driven by fundamental and non-fundamental factors, elucidating the predominance of negative herding attributable to non-fundamental influences. These findings underscore the presence of irrational behavior among investors, potentially leading to increased price instability and deviations from fundamental values. Moreover, the association of negative herding with diversifiable risk suggests potential implications for portfolio composition. Overall, this study contributes to understanding investor behavior in emerging markets and highlights the impact of herding on market dynamics and portfolio management strategies.</p>

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An Examination of Herding Behavior in the Brazilian Equity Market

Cited by 3 publications

References 8 publications

Lottery Stocks in Brazil: Investigating Risk Premium and Investor Behavior

Lottery Stocks in Brazil: Investigating Risk Premium and Investor Behavior

Herding Effect of Both Global and Local Crises in BRICS Countries

Navigating the herd: The dynamics of investor behavior in the Brazilian stock market

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