IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v27y2020i9p759-763.html
   My bibliography  Save this article

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

Author

Listed:
  • Gerson De Souza Raimundo Júnior
  • Marcelo Cabus Klotzle
  • Antonio Carlos Figueiredo Pinto
  • André Luis Leite

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

Suggested Citation

  • Gerson De Souza Raimundo Júnior & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & André Luis Leite, 2020. "Political risk, fear, and herding on the Brazilian stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 27(9), pages 759-763, May.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:9:p:759-763
    DOI: 10.1080/13504851.2019.1645271
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2019.1645271
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2019.1645271?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rubesam, Alexandre & Raimundo, Gerson de Souza, 2022. "Covid-19 and herding in global equity markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:27:y:2020:i:9:p:759-763. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.