An analysis of herd behavior in Latin American stock markets
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Resumen
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.
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Referencias
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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
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