An update about herding behavior during the 2008 and COVID-19 crises

M. Mercè Claramunt Bielsa; Laura González-Vila Puchades; Mohamed Mehdi Hijazi

doi:10.26360/2024_05

Autores/as

M. Mercè Claramunt Bielsa Universidad de Barcelona (España) https://orcid.org/0000-0002-5184-9106
Laura González-Vila Puchades Universidad de Barcelona (España) https://orcid.org/0000-0003-4824-5894
Mohamed Mehdi Hijazi Universidad de Barcelona (España) https://orcid.org/0000-0001-6426-2809

DOI:

https://doi.org/10.26360/2024_05

Palabras clave:

comportamiento de manada, crisis de 2008, crisis de la Covid-19, volatilidad, volumen de negociación

Resumen

El propósito de este artículo es analizar el efecto de la crisis de la Covid-19 en el comportamiento de manada una vez finalizada, comparándolo con la crisis de 2008 en un gran número de países. Aunque la existencia del comportamiento de manada en los mercados financieros durante períodos de crisis ya ha sido evaluada por algunos autores, esta evaluación se ha limitado a unos pocos mercados, y muchos otros aún no han sido evaluados. Sin embargo, este artículo explora el comportamiento de manada durante las crisis financieras, centrándose en la crisis financiera global de 2008 y la pandemia de la Covid-19, ofreciendo un análisis comparativo de ambos eventos. Utilizando el método del CSAD de rentabilidades, se analiza una muestra compuesta por 31 mercados bursátiles y 195.174 días de observación (desde el 2 de enero de 2000 hasta el 5 de mayo de 2023). Los resultados muestran comportamiento de manada durante todo el período, en los diferentes períodos de crisis, tanto en períodos de alta como de baja volatilidad, y tanto en períodos de alto como de bajo volumen de negociación.

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