Exploring market-wide herding behavior in the major stock markets of Latin America; [Explorando el comportamiento de manada en los principales mercados bursátiles de América Latina]

• Tipo: Artigo em Revista Científica Internacional
• Data: 2024-12-03

Autores

Lobão, J (Autor) FEP; Almeida, B (Autor) Outra

Revista

Título: Academia Revista Latinoamericana de Administracion

Vol. 37 Nº 4

Página Inicial: 601-616

ISSN: 1012-8255

Editora: Emerald

Indexação

ISI Web of Knowledge - 1 Citação

Scopus - 1 Citação

Outras Informações

ID Authenticus: P-017-9RW

DOI: 10.1108/arla-04-2024-0057

Abstract (EN): Purpose: This paper investigates market-wide herding behavior among investors in the stock markets of Brazil, Chile, Colombia and Mexico from January 2013 to December 2022. Design/methodology/approach: We analyze a survivor-bias-free dataset of daily stock returns, employing a measure reflecting the cross-sectional deviation of stock returns relative to market consensus. Findings: Significant anti-herding is observed in Brazil and Mexico, while Chile and Colombia show results consistent with rational asset pricing models. The COVID-19 pandemic generally intensifies anti-herding trends. Additionally, significant asymmetries in herding/anti-herding effects are noted during different market trends and volatility levels. Furthermore, we identify the drivers of this phenomenon, revealing that extreme crude oil price movements are associated with more pronounced anti-herding, and herding/anti-herding effects appear synchronized across all four markets. Practical implications: Our findings regarding synchronization in herding dynamics suggest challenges in realizing the desired benefits of international diversification in the region. Social implications: The significant cross-country effects indicate that herding dynamics may play a crucial role in precipitating regional financial crises. Originality/value: For the first time, we examine various features of herding behavior in the sample markets, including the impact of the COVID-19 pandemic, psychological and economic drivers of the phenomenon and synchronization in herding dynamics among the four markets. © 2024, Emerald Publishing Limited.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 16