Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?
Cláudio Barbedo and
Gustavo Araujo ()
No 386, Working Papers Series from Central Bank of Brazil, Research Department
The herd behavior in financial markets is particularly associated with periods of intense volatility and can be explained by the human component in asset trades. In this work, we use the methods of Christie and Huang (1995) and price pressure with high frequency data to detect the herd behavior in the Brazilian stock exchange. The sample comprises the stocks of two large Brazilian companies, Vale and Petrobras, between 2010 and 2014. The results are ambiguous: the first method, using 30 minutes intervals data, has not identified signs of herd behavior. However, the price pressure model, for the sample with all intraday data, suggests the opposite
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:386
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