Finanças comportamentais: efeito manada e o comovimento dos mercados acionários globais entre 2008 e 2017

• Ano de defesa: 2019
• Autor(a) principal: Caner, Gerson
• Orientador(a): Forte, Denis
• Banca de defesa: Forte, Denis, Basso, Leonardo Fernando Cruz
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Presbiteriana Mackenzie
• Programa de Pós-Graduação: Administração de Empresas
• Departamento: Centro de Ciências Sociais e Aplicadas (CCSA)
• País: Brasil
• Palavras-chave em Português: mercado de ações; finanças comportamentais; comportamento manada
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
• Link de acesso: http://dspace.mackenzie.br/handle/10899/23679

The present study seeks to investigate the presence of herd behavior in the eight major global stock markets through the proposed methodologies Chang, Cheng and Khorana (2000), between January 2, 2008 and December 28, 2017. The markets analyzed were the following countries: Brazil, Germany, China, South Korea, the United States, India, Japan and the United Kingdom. The daily data related to the closing and trading volume of each stock in the respective countries are analyzed, representing a sample of 120 months and 743 dates. The seminal article by Chang, Cheng and Khorana (2000), in addition to establishing an extension of the herd-effect methodology, derived from the proposal by Christie and Huang (1995) and followed by those who have studied the herd effect, also launches an important question, which this present study seeks to verify. According to the authors, differences in behavior of dispersions between developed and emerging countries may be the result of incomplete information or information asymmetry among less developed markets. In launching a study covering mature and developing markets using the methodology proposed by Chang, Cheng and Khorana, this paper seeks to fill this gap and advance the understanding of investor behavior differences. The behavior of the market is also analyzed under various conditions, both in high and low trading sessions and in higher and lower traded volume, aiming at pointing out specific characteristics that may suggest favoring the herd effect. The results suggest that there is an occurrence of the herd effect in seven of the eight markets analyzed in the period and that this behavior is more pronounced in days with higher trading volume. This study also seeks to identify the so-called cross-country markets between markets, that is, to examine the conditions under which the dispersion of returns from one market is affected by other market (s). The results show the existence of this movement between the countries and a greater influence of the regional economies and of the greater economies in the cross-country movement. This may be a relevant analysis for global investors, since an increase in the level of movement between assets tends to reduce the benefits of diversification of portfolios.