Economics at your fingertips  

Is There Herd Effect on Stocks with High Liquidity of the Brazilian Market?

Juliana Xavier Serapio da Silva, Claudio Henrique Barbedo and Gustavo Araujo ()

Journal of Financial Innovation, 2015, vol. 1, issue 2, 2

Abstract: Purpose. This work aims to verify the herd behavior in both liquid stocks of Brazilian stock exchange, i.e. Petrobras and Vale. Methodology. This work uses the methods of Christie and Huang (1995) and price pressure with high frequency data to detect the herd behavior between 2010 and 2014. Findings. The first method suggest that there are no signs of herd behavior using 30 minutes intervals data. However, there is evidence of price pressure for the sample with all intraday data. Originality. Herd behavior studies usually focus on mutual funds. This work analyses the herd behavior based on individual stock prices.

Keywords: Behavioral Economics; Herding; Brazilian Stock Market (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Financial Innovation is currently edited by Wesley Mendes-Da-Silva

More articles in Journal of Financial Innovation from IBRIF - Instituto Brasileiro de Inovação Financeira
Bibliographic data for series maintained by Wesley Mendes-Da-Silva ( this e-mail address is bad, please contact ).

Page updated 2022-05-12
Handle: RePEc:jfi:journl:v:1:y:2015:i:2:p:2