Tesis

Herding behavior in the stock markets of Chile, Colombia and Peru: A study of its existence and origin = Comportamiento de manada en los mercados de acciones de Chile, Colombia y Perú: Un estudio de su existencia y origen

CONTENIDO DE LIBRE ACCESO

Este contenido es de libre acceso. Solo haz clic en el siguiente botón.

Autor
Año de publicación 2020
Idioma Inglés

Descripción: Abstract: This paper seeks to determine whether stocks markets from Chile, Colombia and Peru present herding behavior, and what might be reasons behind it. The study is divided in two parts: a quantitative and a qualitative one. The quantitative uses an OLS model, whose objective is to determine the relationship between the average market return and the returns dispersion, as measured by the Cross-Sectional Absolute Deviation. The qualitative one seeks to dig into the available information to find the reasons behind the results of the OLS model. The results of the quantitative model are clear for Peru, market that shows significant herding signs for most of the different scenarios. Chile shows herding during days of low traded volume, while Colombia does not evidence any kind of herding. There are two main reasons that could explain those results: information availability and type of investors. The first refers to the scarcity of company specific information and the low credibility of investors on it. The second, refers to tremendous influence institutional investors exert when they are the predominant player in a stock market. In the three markets, AFP’s – pension funds – control most of the trading activity, reason why they behavior shapes the existence or non-existence of herd behavior. Some general reasons such as the size of the markets, the low diversification and the corruption level, help explain why AFP’s might herd. Each country has additional specific explanations: Chile shares characteristics of developed and developing markets; Colombia has important players that are part of both the supply and demand of stocks; Peru is the textbook representation of stock markets in developing economies.
Citación recomendada (normas APA)
: Luis Miguel Ochoa Giraldo, "Herding behavior in the stock markets of Chile, Colombia and Peru: A study of its existence and origin = Comportamiento de manada en los mercados de acciones de Chile, Colombia y Perú: Un estudio de su existencia y origen", Colombia; Chile; Perú:-, 2020. Consultado en línea en la Biblioteca Digital de Bogotá (https://www.bibliotecadigitaldebogota.gov.co/resources/3711411/), el día 2025-05-07.

Información adicional

Temas
- Otros
Derechos de uso Derechos reservados
Fuente Biblioteca Virtual Banco de la República
Términos y condiciones de uso Más información aquí
Año de publicación 2020
Formato PDF
Cobertura Colombia; Chile; Perú

Herding behavior in the stock markets of Chile, Colombia and Peru: A study of its existence and origin = Comportamiento de manada en los mercados de acciones de Chile, Colombia y Perú: Un estudio de su existencia y origen

Información adicional

Mis colecciones

¿Eliminar esta reseña?