Comportamiento gregario y sentimiento: la evidencia sobre un pequeño mercado europeo

Herding behaviour and sentiment: Evidence in a small European market

  • Elisabete S. Vieira
  • Márcia S. Valente Pereira
Palabras clave: Herding behaviour, Capital market, Information cascades, Behavioural finance

Resumen

Este trabajo estudia el efecto rebaño en un mercado europeo de dimensión reducida, analizando los valores que constituyen el índice portugués PSI-20, para el período 2003-2011. Para ello, se consideran dos aproximaciones con objeto de medir la intensidad de este tipo de comportamiento, las cuales arrojan resultados diferentes, de lo que se deduce que el fenómeno manada es sensible al método de medición utilizado. Por consiguiente, existe la necesidad de promover investigaciones relacionadas con la metodología de medición asociada a este fenómeno. Este trabajo analiza, además, la relación existente entre el comportamiento de rebaño y el sentimiento del inversor, la cual no ha sido hasta la fecha suficientemente estudiada en profundidad. Aplicando tests de causalidad para evaluar el impacto del sentimiento del inversor sobre su comportamiento gregario, solo encontramos evidencias débiles de la influencia del primero sobre el segundo.

Descargas

La descarga de datos todavía no está disponible.

Biografía del autor/a

Elisabete S. Vieira

 

R. da Oliveira, n.º 17, Bonsucesso
Aveiro
PORTUGAL

Citas

[Afonso and Teixeira, 1999] A. Afonso, J.C. Teixeira. Non-linear tests of weakly efficient markets: Evidence from Portugal. Estudos de Economia, 9 (1999), pp. 169-187

[Arkes et al., 1988] H. Arkes, L. Herren, A. Isen. The role of potential loss in the influence of affect on risk taking behavior. Organizational Behavior and Human Decision Processes, 35 (1988), pp. 124-140

[Avery and Zemsky, 1998] C. Avery, P. Zemsky. Multidimensional uncertainty and herd behavior in financial markets. American Economic Review, 88 (1998), pp. 724-748

[Baek and Bandopadhyaya, 2005] A. Baek, D.C. Bandopadhyaya. Determinants of market assessed sovereign risk: Economic fundamentals or market risk appetite?. Journal of International Money and Finance, 24 (2005), pp. 533-548

[Baker and Wurgler, 2006] M. Baker, J. Wurgler. Investor sentiment and the cross-section of stock returns. Journal of Finance, 61 (2006), pp. 1645-1680

[Baker and Wurgler, 2007] M. Baker, J. Wurgler. Investor sentiment in the stock market. Journal of Economic Perspectives, 21 (2007), pp. 129-151

[Baker et al., 2012] M. Baker, J. Wurgler, Y. Yuan. Global, local, and contagious investor sentiment. Journal of Financial Economics, 104 (2012), pp. 272-287

[Banerjee, 1992] A. Banerjee. A simple model of herd behavior. The Quarterly Journal of Economics, 107 (1992), pp. 797-817

[Barros, 2009] A.D. Barros. Comportamento dos fundos de ações nas revisões do PSI20. Department of Economics, University of Oporto, (2009)

[Ben-Rephael et al., 2012] A. Ben-Rephael, S. Kandel, A. Wohl. Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104 (2012), pp. 363-382

[Bikhchandani and Sharma, 2001] S. Bikhchandani, S. Sharma. Herd behavior in financial markets. IMF Staff Papers, 47 (2001), pp. 279-310

[Bikhchandani et al., 1992] S. Bikhchandani, D. Hirshleifer, I. Welch. A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100 (1992), pp. 992-1026

[Black, 1986] F. Black. Presidential address: Noise. Journal of Finance, 41 (1986), pp. 529-544

[Blasco et al., 2009] N. Blasco, P. Corredor, S. Ferreruela. Generadores de comportamento imitador en el mercado de valores español. Revista Española de Finaciación y Contabilidad, 38 (2009), pp. 265-291

[Blasco et al., 2012] N. Blasco, P. Corredor, S. Ferreruela. Market sentiment: A key factor of investors’ imitative behavior. Accounting & Finance, 52 (2012), pp. 663-689 http://dx.doi.org/10.1111/j.1467-629X.2011.00412.x

[Bonfim and Kim, 2012] D. Bonfim, M. Kim. Liquidity risk in banking: Is there herding?. (2012)

[Bower, 1981] G. Bower. Mood and memory. American Psychologist, 36 (1981), pp. 129-148

[Brown and Cliff, 2005] G.W. Brown, M.T. Cliff. Investor sentiment and asset valuation. Journal of Business, 78 (2005), pp. 405-440

[Chang et al., 2000] E.C. Chang, J.W. Cheng, A. Khorana. An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24 (2000), pp. 1651-1679 http://dx.doi.org/10.1188/15.ONF.112-113

[Chen et al., 2003] G. Chen, O.M. Rui, Y. Xu. When will investors herd? Evidence from the Chinese stock markets. Journal of Financial Research, 37 (2003), pp. 2-40

[Christie and Huang, 1995] W.G. Christie, R.D. Huang. Following the pied piper: Do individual returns herd around the market?. Financial Analysts Journal, 51 (1995), pp. 31-37

[Cipriani and Guarino, 2008a] M. Cipriani, A. Guarino. Herd behavior and contagion in financial markets. The B E Journal of Theoretical Economics, 8 (2008), pp. 1-54

[Cipriani and Guarino, 2008b] M. Cipriani, A. Guarino. Herd behavior in financial markets: An experiment with financial market professionals. (2008)

[Cipriani and Guarino, 2008c] M. Cipriani, A. Guarino. Transaction costs and informational cascades in financial markets. Journal of Economic Behavior & Organization, 68 (2008), pp. 581-592 http://dx.doi.org/10.1080/03630242.2015.1022812

[De Long et al., 1990] J. De Long, A. Shleifer, L. Summers, R. Waldmann. Noise trader risk in financial markets. Journal of Political Economy, 98 (1990), pp. 703-738

[Demirer and Kutan, 2006] R. Demirer, A.M. Kutan. Does herding behavior exist in Chinese stock markets?. Journal of International Financial Markets, Institutions & Money, 16 (2006), pp. 123-142 http://dx.doi.org/10.1001/jamainternmed.2013.14458

[Devenow and Welch, 1996] A. Devenow, I. Welch. Rational herding in financial economics. European Economic Review, 40 (1996), pp. 603-615

[Duasa and Kassim, 2008] J. Duasa, S. Kassim. Herd behavior in Malaysian capital market: An empirical analysis. Munich Personal RePEc Archive, MPRA Paper No. 13303. (2008)

[Duque and Razina, 1998] J. Duque, F.A. Razina. A interdependência entre os mercados financeiros internacionais. (1998)

[Eichengreen and Mody, 1998] B. Eichengreen, A. Mody. Interest rates in the north and capital flows to the south: Is there a missing link?. International Finance, 1 (1998), pp. 35-58

[Fromlet, 2001] H. Fromlet. Behavioral finance – Theory and practical application. Business Economics, (2001), pp. 63-69

[Godinho, 1999] P. Godinho. A distribuição e a dependência temporal de taxas de rentabilidade. Associação da Bolsa de Derivados, (1999)

[Grinblatt et al., 1995] M. Grinblatt, S. Titman, R. Wermers. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. The American Economic Review, 85 (1995), pp. 1088-1105

[Gujarati, 2009] D.N. Gujarati. Basic Econometrics. 5th ed., McGraw Hill, (2009)

[Hirshleifer et al., 1994] D. Hirshleifer, A. Subrahmanyam, S. Titman. Security analysis and trading patterns when some investors receive information before others. The Journal of Finance, 49 (1994), pp. 1665-1698

[Hwang and Salmon, 2004] S. Hwang, M. Salmon. Market stress and herding. Journal of Empirical Finance, 11 (2004), pp. 585-616

[Hwang and Salmon, 2009] S. Hwang, M. Salmon. Sentiment and beta herding. (2009)

[Kahneman and Tversky, 1979] D. Kahneman, A. Tversky. Prospect theory: An analysis of decision under risk. Econometrica, 47 (1979), pp. 263-292

[Lakonishok et al., 1992] J. Lakonishok, A. Shleifer, R.W. Vishny. The impact of institutional trading on stock prices. Journal of Financial Economics, 32 (1992), pp. 23-43

[Lee et al., 2002] W.Y. Lee, C.X. Jiang, D.C. Indro. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance, 26 (2002), pp. 2277-2299

[Leite, 2011] T.G. Leite. Análise do comportamento dos investidores: Estudo do herding behavior no mercado de capitais português. University of Trás-os-Montes e Alto Douro, (2011)

[Lemmon and Portniaguina, 2006] M. Lemmon, E. Portniaguina. Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19 (2006), pp. 1499-1529

[Liao et al., 2010] T.L. Liao, C.J. Huang, C.Y. Wu. Do fund managers herd to counter investor sentiment?. Journal of Business Research, 64 (2010), pp. 207-212

[Orléan, 1995] A. Orléan. Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion. Journal of Economic Behavior and Organization, 28 (1995), pp. 257-274

[Patterson and Sharma, 2005] D.M. Patterson, V. Sharma. Intraday herding and market efficiency. University of Michigan-Dearborn, (2005)

[Patterson and Sharma, 2006] D.M. Patterson, V. Sharma. Do traders follow each other at the NYSE?. University of Michigan-Dearborn, (2006)

[Patterson and Sharma, 2007] D.M. Patterson, V. Sharma. Did herding cause the stock market bubble of 1998–2001?. University of Michigan-Dearborn, (2007)

[Peters, 1996] E. Peters. Chaos and order in the capital markets. 2nd ed., Wiley Finance, (1996)

[Radalj and Mcaleer, 2003] K. Radalj, M. Mcaleer. Herding, information cascades and volatility spillovers in futures markets. Department of Economics, University of Western Australia, (2003)

[Rajan, 1994] R.G. Rajan. Why credit policies fluctuate: A theory and some evidence. The Quarterly Journal of Economics, 109 (1994), pp. 399-441

[Salzman and Trifan, 2005] D. Salzman, E. Trifan. Emotions, Bayesian inference, and financial decisions making. Publications of Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics, (2005)

[Scharfstein and Stein, 1990] D.S. Scharfstein, J.C. Stein. Herd behavior and investment. The American Economic Review, (1990), pp. 465-479

[Schmeling, 2009] M. Schmeling. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16 (2009), pp. 394-408

[Schwarz, 2002] N. Schwarz. Emotion, cognition, and decision making. Cognition & Emotion, 14 (2002), pp. 433-440 http://dx.doi.org/10.1038/npp.2015.87

[Sciubba, 2000] E. Sciubba. Relative performance and herding in financial markets. Faculty of Economics and Politics, University of Cambridge and Tinbergen Institute Rotterdam, (2000)

[Serra and Lobão, 2002] A.P. Serra, J. Lobão. Herding behavior – Evidence from Portuguese mutual funds. Department of Economics, University of Oporto, (2002)

[Shefrin, 2000] H. Shefrin. Beyond greed and fear; understanding behavioral finance and the psychology of investing. Harvard Business School Press, (2000)

[Shiller, 1984] R. Shiller. Stock market and social dynamics. Brookings Papers on Economic Activity, (1984)

[Shleifer and Vishny, 1997] A. Shleifer, R.W. Vishny. The limits of arbitrage. The Journal of Finance, 52 (1997), pp. 35-55

[Schmelling, 2009] M. Schmelling. Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16 (2009), pp. 394-408

[Smith and Sorensen, 2000] L. Smith, P. Sorensen. Pathological outcomes of observational learning. Econometrica, 68 (2000), pp. 371-398

[Soares, 1994] J. Soares. Preços de acções na bolsa de Lisboa: Análise, previsão e regras de compra e venda. Instituto Superior Técnico, (1994)

[Soares, 1997] V.A. Soares. Eficiência dos mercados bolsistas de acções – O estudo do caso português. Vida Económica, Oporto, (1997)

[Thaler, 1991] R.H. Thaler. Quasi-rational economics. Russel Sage Foundation, (1991)

[Trueman, 1988] B. Trueman. A theory of noise trading in securities markets. Journal of Finance, 43 (1988), pp. 83-95

[Vieira, 2011] E.S. Vieira. Investor sentiment and the market reaction to dividend news: European evidence. Managerial Finance, 37 (2011), pp. 1213-1245

[Wang et al., 2006] Y. Wang, A. Keswani, S. Taylor. The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22 (2006), pp. 109-123

[Welch, 1992] I. Welch. Sequential sales, learning, and cascades. The Journal of Finance, 47 (1992), pp. 695-732

[Wright and Bower, 1992] W.F. Wright, G.H. Bower. Mood effects on subjective probability assessment. Organizational Behavior and Human Decision Processes, 52 (1992), pp. 276-291

[Zaharyeva, 2009] I. Zaharyeva. Herding toward the market: Evidence from the stock market of Ukraine. Kyiv School of Economics, (2009)

[Zhou and Lai, 2009] R. Zhou, R. Lai. Herding and information based trading. Journal of Empirical Finance, 16 (2009), pp. 388-393
Publicado
01-01-2015
Cómo citar
Vieira, E. S., & Valente Pereira, M. S. (2015). Comportamiento gregario y sentimiento: la evidencia sobre un pequeño mercado europeo. Revista De Contabilidad - Spanish Accounting Review, 18(1), 78-86. https://doi.org/10.1016/j.rcsar.2014.06.003
Sección
Artículos