Herding behaviour in the Portuguese stock market

: impact of COVID-19

Abstract

The present study aimed at identifying the presence of herding in the Portuguese stock market in the years 2020 and 2021, corresponding to the COVID-19 pandemic, and to compare these two years to the control year 2019. This aim was chosen since the pandemic was a source of stress for the economic and the financial worlds. Data from the PSI20 index were used, and the analysis by the Christie & Huang method (1995) failed to show the presence of herding. The use of the Chang et al. method (2000), also evaluating aggregate market activity, allowed the finding of herding in the pandemic period, but only at a 10% significance level. We found insufficient evidence to definitively establish the presence of herding during the COVID-19 pandemic in the Portuguese stock market (in 2020 and 2021), although we cannot exclude that it may have existed at a relatively limited degree. Overall, national and international institutions may have been sufficiently strong to deal, to an important degree, with the strain placed on the Portuguese stock market.

Date of Award	20 Dec 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Mário Ferreira (Supervisor)