Finanças comportamentais: uma análise do Efeito Manada no mercado acionário brasileiro durante a pandemia de COVID-19

Abstract

After the discovery of the new COVID-19 virus in December 2019 and its rapid proliferation, a global pandemic ensued, causing devastating effects on public health and the global economy in the following years. With transportation restrictions and quarantine measures, popularly known as lockdowns, the global market was severely impacted. Amid the panic surrounding the new virus, the Brazilian financial market experienced significant declines. In this context, this study aimed to analyze whether psychological factors, such as uncertainty and fear, affected investor decision-making during this period. By examining the concept of a rational market through the Efficient Market Hypothesis (FAMA, 1970) and based on the modern theory of Behavioral Finances with the Prospect Theory (KAHNEMAN; TVERSKY, 1979), according to the herding heuristic; the general objective of this thesis was to investigate the relationship between the COVID-19 pandemic and the possible occurrence of Herding Behavior in the most traded assets on B3 (Brasil Bolsa Balcão). For this purpose, multiple linear regression and rolling windows regression were used to identify the presence of Herding Behavior, according to the model of Chang, Cheng, and Khorana (2000) – Cross-Sectional Absolute Deviation of Returns (CSAD) – derived from the original model of Christie and Huang (1995). The relationship between the effect and the pandemic was analyzed through a multiple linear regression, using the volume of Google searches for the term "COVID-19" during the period as proxy variable for the pandemic. The results indicated the presence of Herding Behavior during the first half of 2020 in the Brazilian stock market, with strong indications that increased concern, as measured by the number of searches about the virus, was responsible for this behavior. These findings are important for investors as they demonstrate how Herding Behavior can affect the market during crises. This understanding allows investors to diversify risks more efficiently, adjusting their strategies to minimize losses in uncertain situations, and broadens the understanding of how the COVID-19 pandemic may have influenced the Brazilian stock market.