Open AccessHá Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?
Author(s) -
Juliana Xavier Serapio da Silva,
Cláudio Henrique da Silveira Barbedo,
Gustavo Silva Araújo
Publication year - 2015
Publication title -
journal of financial innovation
Language(s) - English
Resource type - Journals
ISSN - 2359-1005
DOI - 10.15194/jofi_2015.v1.i2.16
Subject(s) - herd , herd behavior , stock exchange , economics , econometrics , stock (firearms) , sample (material) , financial economics , business , geography , herding , finance , forestry , zoology , physics , thermodynamics , biology , archaeology
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.