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Is There Herd Effect on Stocks with High Liquidity of the Brazilian Market?

Author

Listed:
  • Juliana Xavier Serapio da Silva
  • Claudio Henrique Barbedo
  • Gustavo Silva Araújo
Abstract
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.

Suggested Citation

  • Juliana Xavier Serapio da Silva & Claudio Henrique Barbedo & Gustavo Silva Araújo, 2015. "Is There Herd Effect on Stocks with High Liquidity of the Brazilian Market?," Journal of Financial Innovation, IBRIF - Instituto Brasileiro de Inovação Financeira, vol. 1(2), pages 1-2.
    • Handle: RePEc:jfi:journl:v:1:y:2015:i:2:p:2
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