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

Gerson De Souza Raimundo Júnior, Marcelo Klotzle, Antonio Carlos Figueiredo Pinto and André Luis Leite

Applied Economics Letters, 2020, vol. 27, issue 9, 759-763

Abstract: 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

Date: 2020
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DOI: 10.1080/13504851.2019.1645271

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