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
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 Similar to VIX. The detailed methodology is in http://www.nefin.com.br/volatility_index.html.
2 Calculated as the difference between the annualised 10-year interest rate and the annualised monthly interest rate.
3 For additional details, refer to Bekaert et al. (Citation2014).
4 In model (5), we used data from August 2011 to December 2017, due to their availability. Model (5) did not converge for BOLSA.