Herding effect in economic sectors of the Latin American stock markets: A pre and post-subprime crisis vision

Juan Benjamín Duarte Duarte (), Laura Daniela Garcés Carreño and Katherine Julieth Sierra Suárez
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Juan Benjamín Duarte Duarte: Universidad Industrial de Santander, Santander, Colombia
Laura Daniela Garcés Carreño: Universidad Industrial de Santander, Santander, Colombia
Katherine Julieth Sierra Suárez: Universidad de Santander, Santander, Colombia

Contaduría y Administración, 2016, vol. 61, issue 2, 298–323

Abstract: In recent years the behavior of the agents and what motivates them to make their investment decisions; it has been the focus of study by many researchers in the fields of economics, finance and related fields. With this in mind, this article seeks to test empirically one of these behaviors, the herd effect, using the models proposed by Christie y Huang (1995) and Chang, Cheng y Khorana (2000), in the most representative index and the sectors that compose it, of the main markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) in the period 2002-2014, as well as in the sub periods pre and post crisis caused by the subprime mortgage. The findings of this research show that the herd effect is present in the most representative stock index in Colombia, Chile and Peru and in some of the sectors that comprise it, either in the total period and/or in sub periods pre and post crisis; in the Brazilian stock market, the effect is present in the banking sector in the total period and in the sub period of pre-crisis; Argentina stock market that effect is present in the banking sector and in the oil and gas sector, and Mexico stock market there is no evidence of this effect.

Keywords: Herd effect; Latin America stock markets; Cross sectional dispersion of returnsIntroducción (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:61:y:2016:i:2:p:298-323

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