An analysis of herd behavior in Latin American stock markets
This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market...
- Autores:
-
Duarte Duarte, Juan Benjamín
Garcés Carreño, Laura Daniela
Sierra Suárez, Katherine Julieth
- Tipo de recurso:
- Fecha de publicación:
- 2016
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/9158
- Acceso en línea:
- http://hdl.handle.net/10784/9158
- Palabra clave:
- C31
G14
G15
Bolsa de valores - América Latina
Mercado bursátil
Comportamiento de rebaño - modelos matemáticos
- Rights
- License
- Acceso abierto
| Summary: | This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market index in each country, using the model proposed by Christie y Huang (1995) -- The results do not reveal any herd behavior in the total market, or in the sectors of the markets examined in the study |
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