An Examination of Herding Behavior in the Brazilian Equity Market

ABSTRACT The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.

摘要 本研究旨在探究巴西股票市场中的羊群行为（herding behavior）。该行为偏差在市场下行时期颇为常见，可能导致投资者蒙受巨额损失。有效甄别其真实发生情况颇具难度。通过采用Chang等人（2000）提出的研究方法，本研究证实羊群行为的发生与以下现象相关：高交易量、高波动性、市场下行以及订单失衡。本研究的主要贡献在于，发现羊群行为会对过往冲击的方向呈现非对称响应。研究结果显示，剧烈的抛售行为会引发市场参与者的不确定性，使其在即将面临亏损的时期模仿他人的交易行为。