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Political risk, fear, and herding on the Brazilian stock exchange

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  • Gerson De Souza Raimundo Júnior
  • Marcelo Cabus Klotzle
  • Antonio Carlos Figueiredo Pinto
  • André Luis Leite

Abstract

This study analyses beta herding in the Brazilian stock market using a state–space model, controlled by two company groupings: those listed on the market index and those listed on the stock exchange as a whole. The findings revealed high herding in the Brazilian stock exchange, with only small differences between the groupings. Concerning the control variables, we verified that dividend yield, market volatility, SMB and WML factors were significant for both groups, indicating that herding is significant irrespective of those variables behavior

Suggested Citation

  • Gerson De Souza Raimundo Júnior & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & André Luis Leite, 2020. "Political risk, fear, and herding on the Brazilian stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 27(9), pages 759-763, May.
  • Handle: RePEc:taf:apeclt:v:27:y:2020:i:9:p:759-763
    DOI: 10.1080/13504851.2019.1645271
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    Cited by:

    1. Rubesam, Alexandre & Raimundo, Gerson de Souza, 2022. "Covid-19 and herding in global equity markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).

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