You are welcome to the Department of Economics and Finance research seminar "Herding Behavior in Integrated Financial Markets: The Case of MILA". The seminar will take place on 6 April, at 16:00 - 17:00 in room SOC-413 and on MS Teams (link).
Presenter: João Paulo Vieito (Polytechnic Institute of Viana do Castelo)
Abstract: The purpose of this study is to investigate whether there is any financial herding behavior in the Latin American Integrated Market (MILA), a transnational stock market composed of Chile, Peru, Colombia, and Mexico stock exchanges, and whether there is any ARCH or GARCH effect in the herding behavioral models. The study found strong herding behavior under the general market conditions, and moderate and partial herding behavior under some specified markets circumstances, such as bull and bear markets, and high-low volatility states. Moreover, the pre-MILA period exhibits more herding behavior than the post-MILA period. Our empirical results show that the past information of stock returns and market volatility significantly affect the volatility of following periods, which can also explain the formation of herding tendency among investors.
Keywords: Herding behavior; Emerging markets; MILA, Integrated market, Transnational stock market, ARCH and GARCH effects
JEL classification: G40, G00, F14, F15, F30, F36
The public research seminars of the Department of Economics and Finance (DEF) at Tallinn University of Technology usually take place on the second and fourth Wednesdays of the month in both onsite and online format, unless announced otherwise. The presentation will last approximately 45 minutes followed by 15 minutes of discussion. The seminars are held in English. Copies of the paper are usually made available at the seminar. The DEF seminar series is organised in collaboration with the project ”Individual Behaviour and Economic Performance: Methodological Challenges and Institutional Context” (IBEP), which has received funding from the European Union’s Horizon 2020 Research and Innovation programme under Grant Agreement No 952574. Questions about the seminar can be sent to the IBEP seminar coordinator Kadri Männasoo, email@example.com.