Political risk, fear, and herding on the Brazilian stock exchange

This study analyses beta herding in the Brazilian stock market using a state-space model, controlled by two company groupings: those listed on the market index and those listed on the stock exchange as a whole. The findings revealed high herding in the Brazilian stock exchange, with only small diffe...

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Bibliographic Details
Published inApplied economics letters Vol. 27; no. 9; pp. 759 - 763
Main Authors Raimundo Júnior, Gerson De Souza, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Luis Leite, André
Format Journal Article
LanguageEnglish
Published London Routledge 20.05.2020
Taylor & Francis LLC
Subjects
Beta herding
Economic analysis
Economic theory
Economics
fear
Political risk
Securities markets
state-space model
Stock exchanges
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Summary:This study analyses beta herding in the Brazilian stock market using a state-space model, controlled by two company groupings: those listed on the market index and those listed on the stock exchange as a whole. The findings revealed high herding in the Brazilian stock exchange, with only small differences between the groupings. Concerning the control variables, we verified that dividend yield, market volatility, SMB and WML factors were significant for both groups, indicating that herding is significant irrespective of those variables behavior
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2019.1645271