An analysis of herd behavior in Latin American stock markets

Main Article Content

Juan Benjamín Duarte Duarte
Universidad Industrial de Santander, Colombia. Escuela de Estudios Industriales y Empresariales, Grupo de investigación Finance & Management.

Laura Daniela Garcés Carreño
Universidad Industrial de Santander, Colombia. Escuela de Estudios Industriales y Empresariales, Grupo de investigación Finance & Management.

Katherine Julieth Sierra Suárez
Universidad Industrial de Santander, Colombia. Escuela de Estudios Industriales y Empresariales, Grupo de investigación Finance & Management.

Keywords

Herd Behavior, Latin America Stock Markets, Variation in Returns

Abstract

This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market index in each country, using the model proposed by Christie y Huang (1995). The results do not reveal any herd behavior in the total market, or in the sectors of the markets examined in the study.

Downloads

Download data is not yet available.
Abstract 1718 | PDF Downloads 492 HTML Downloads 219

References

Acevedo V., N., Fleisman V., D., Montoya V., A., & Mora C., A. M. (2010). Generalidades de los ADRS: Un estudio de caso sectorial para empresas de Colombia, México, Brasil y Chile. Ecos de Economía, 14(31), 64-97.

Bikhchandani, S., & Sharma, S. (2001). Herd Behavior in Financial Markets. IMF Staff Papers, International Monetary Fund, 47, 279-310.

Caporale, G. M., Economou, F., & Philippas, N. (2008). Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange. Economics Bulletin, 7(17), 1-13.

Chang , E. C., Cheng , J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance 24, 1651-1679. http://dx.doi.org/10.1016/S0378-4266(99)00096-5

Chen, T. (2013). Do Investors Herd in Global Stock Markets? Journal of Behavioral Finance, 14, 230-239. http://dx.doi.org/10.1080/15427560.2013.819804

Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance 34, 1911-1921. http://dx.doi.org/10.1016/j.jbankfin.2009.12.014

Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market. Financial Analysts Journal, 31-37. http://dx.doi.org/10.2469/faj.v51.n4.1918

de Almeida, R. P., Costa, H. C., & da Costa Jr., N. C. (2012). Herd Behavior in Latin American Stock Markets. Latin American Business Rewiew, 13(2), 81-102. http://dx.doi.org/10.1080/10978526.2012.700271

Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review 40, 603-615. http://dx.doi.org/10.1016/0014-2921(95)00073-9

Economou, F., Kostakis, A., & Philippas, N. (2010). An examination of herd behavior in four Mediterranean stock markets. In European economics and finance society conference paper.

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417. http://dx.doi.org/10.2307/2325486

Henker, J., Henker, T., & Mitsios, A. (2006). Do investors herd intraday in Australian equities? International Journal of Managerial Finance, 2(3), 196-219. http://dx.doi.org/10.1108/17439130610676475

Hott, C. (2009). Herding behavior in asset markets. Journal of Financial Stability, 5, 35-56. http://dx.doi.org/10.1016/j.jfs.2008.01.004

Lao, P., & Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics 22, 495-506. http://dx.doi.org/10.1016/j.asieco.2011.08.001

Liu, S. (2013). An empirical analysis of herd behavior in the Singapore stock market. Tesis de maestria en finanzas, Saint Mary's University.

Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708. http://dx.doi.org/10.2307/1913610

Ouarda, M., Bouri, A. E., & Bernard, O. (2013). Herding Behavior under Markets Condition: Empirical Evidence on the European Financial Markets. International Journal of Economics and Financial Issues, 3(1), 214-228.

Shiller, R. J. (2003). From Efficient Markets Theory to Behavioral Finance. Journal of Economic Perspectives, 17(1), 83-104. http://dx.doi.org/10.1257/089533003321164967

Tan, L., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin Finance Journal, 16, 61-77. http://dx.doi.org/10.1016/j.pacfin.2007.04.004

Article Sidebar

PDF HTML
Published
Jun 22, 2016
DOI https://doi.org/10.17230/ecos.2016.42.1

Article Details

How to Cite
Duarte Duarte, J. B., Garcés Carreño, L. D., & Sierra Suárez, K. J. (2016). An analysis of herd behavior in Latin American stock markets. Ecos De Economía, 20(42), 4–18. https://doi.org/10.17230/ecos.2016.42.1
Issue
Vol. 20 No. 42 (2016)
Section
Articles
Supporting Agencies

Authors who publish with this journal agree to the following terms:

  • Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
  • Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
  • Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).

Most read articles by the same author(s)