An analysis of the behavior of investors in the Brazilian future market between jan/2018 and aug/2024
DOI:
https://doi.org/10.5902/1983465990705Keywords:
Herd effect, Covid-19, Investor category, Financial marketsAbstract
Objective: Investigate whether there was a change in the pattern of investor behavior in the Brazilian stock market between Jan/2018 and Aug/2024.
Design/methodology/approach: The study investigates the behavior of the financial volume of Bovespa standard contract investors (large investors) and Ibovespa mini future contract investors (small investors) in three periods: pre-crisis (2018–2019), Covid-19 crisis (2020–2021) and post-crisis (2022–Aug/2024). For data analysis, multiple linear regression is used.
Results: The results indicate: a) the volume of the standard portfolio is not affected by savings or investment funds in the pre-crisis, competes with savings in the crisis and follows investment funds in the post-crisis; b) the volume of the mini futures contract follows the standard contract in the pre-crisis (herd effect), follows the opposite direction during the crisis and has no relationship after the crisis. Therefore, there is a diverse response from investors in different market conditions.
The research limitations/implication: Focuses on only two types of investors and does not capture the motivations and/or subjective perceptions of investors.
Practical implications: Assists in the development of risk mitigation strategies that promote a more resilient market.
Social implications: By understanding changes in investor behavior in different economic scenarios and different types of financial products, it can guide them to avoid making the same mistakes in the future.
Originality/value: The analysis of financial behavior in different investment sizes, different economic scenarios and different financial assets.
Downloads
References
Abdin, S. Z. U., Farooq, O., Sultana, N. & Farooq, M. (2017). The impact of heuristics on investment decision and performance: Exploring multiple mediation mechanisms. Research in International Business and Finance, 42, 674-688. https://doi.org/10.1016/j.ribaf.2017.07.010 DOI: https://doi.org/10.1016/j.ribaf.2017.07.010
Agência Gov. (2023, 29 outubro). IBGE revisa resultado do PIB de 2021 de 5,0% para 4,8%: O PIB per capita chegou a R$42.247,52. https://agenciagov.ebc.com.br/noticias/202311/pib-cresce-4-8-e-totaliza-r-9-trilhoes-em 2021#:~:text=Em%202021%2C%20o%20Produto%20Interno,famílias%20(2%2C9%25).
Aldrighi, D. M. & Milanez, D. Y. (2005). Finança comportamental e a hipótese dos mercados eficientes. Revista Economia Contemporânea, 9(1), 41-72.
ANBIMA. (2021). Raio X do investidor brasileiro. (4a. ed.). São Paulo: ANBIMA. https://www.anbima.com.br/pt_br/especial/raio-x-do-investidor-2021.htm.
ANBIMA. (2024a, 25 de setembro). Consolidado histórico de fundos de investimento. https://www.anbima.com.br/pt_br/informar/estatisticas/fundos-de-investimento/fi-consolidado-historico.htm.
ANBIMA. (2024b, 20 de maio). Raio X do investidor brasileiro. (7a. ed.). São Paulo: ANBIMA.
https://www.anbima.com.br/pt_br/especial/raio-x-do-investidor-brasileiro.htm.
Antony, A. (2019). Behavioral finance and portfolio management: Review of theory and literature. Journal of Public Affairs, 1(20), 1-7. DOI 10.1002/pa.1996 DOI: https://doi.org/10.1002/pa.1996
Araújo, L. M. de, Freitas, R. L. C. de, Abreu, E. S. de; Serrano, A. L. M. & Oliveira Neto, J. C. da C. (2015). Efeito manada no mercado de capitais: um estudo com gerentes de bancos públicos do Distrito Federal. 2015. XVIII Seminários em Administração (SEMEAD), São Paulo.
B3. (2024a, 20 de maio). Resumo das operações. https://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/consultas/mercado-de-derivativos/resumo-das-operacoes/estatisticas/.
B3. (2024b, 07 de outubro). Índice Bovespa: Futuro mini de Ibovespa. https://www.b3.com.br/pt_br/produtos-e-servicos/negociacao/renda-variavel/futuro-mini-de-ibovespa.htm.
B3. (2024c, 26 de agosto). Número de pregões mensal. https://www.b3.com.br/data/files/30/C3/24/BA/4FA6161025668616790D8AA8/PREGOES.pdf.
Baker, H. K. & Ricciardi, V. (2015). Understanding behavioral aspects of financial planning and investing. Journal of Financial Planning, 28(3), 22-26.
Bastos, E. K. X. & Leite, C. R. G. (2024). Panorama da economia mundial. Carta de Conjuntura: IPEA, (63), 1-27.
https://www.ipea.gov.br/cartadeconjuntura/wp-content/uploads/2024/06/240626_cc_63_nota_24.pdf.
Bazerman, M. H. & Moore, D. (2010). Processo Decisório. (7a. ed.). Elsevier.
BCB. (2024a, 20 de maio). Relatório de poupança. https://www.bcb.gov.br/estatisticas/relatoriopoupanca.
BCB. (2024b, 26 de maio). Taxa Selic: Efeitos de mudanças na Selic. https://www.bcb.gov.br/controleinflacao/taxaselic.
Bikhchandani, S. & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279-310. DOI: https://doi.org/10.2307/3867650
Blasco, N, Corredor, P. & Ferreruela, S. (2011). Detecting intentional herding: what lies beneath intraday data in the Spanish stock market. Journal of The Operational Research Society, (62), 1056-1066. https://www.jstor.org/stable/20868947. DOI: https://doi.org/10.1057/jors.2010.34
Christie, W. G. & Huang, R. D. (1995). Following the pied piper: Do individual returns herd around the market? Financial Analysts Journal, DOI: https://doi.org/10.2469/faj.v51.n4.1918
(4), 31-37. https://www.jstor.org/stable/4479855.
Cohen, J. (2013). Statistical power analysis for the behavioral sciences. (2a. ed.). Kobo Editions. DOI: https://doi.org/10.4324/9780203771587
Costa, D. F. (2017). Ensaios sobre vieses cognitivos no processo de tomada de decisão gerencial. [Tese de Doutorado]. Universidade Federal de Lavras.
Courel, J. (2023). Um estudo do comportamento de manada no mercado acionário brasileiro na pandemia do Covid-19. [Dissertação de Mestrado]. Universidade de São Paulo.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486 DOI: https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
Fávero, L. P., Belfiore, P., Silva, F. L. da & Chan, B. L. (2009). Análise de dados: Modelagem multivariada para tomada de decisões. Elsevier, 2009.
Galdi, F. C. & Gonçalves, A. M. (2018). Pessimismo e incerteza das notícias e comportamento dos investidores no Brasil. Revista de
Administração de Empresas, 58(2), 130-148. DOI:10.1590/s0034-759020180203 DOI: https://doi.org/10.1590/s0034-759020180203
Hwang, S. & Salmon, M. (2001). A new measure of herding and empirical evidence. Working Paper Series. Coventry: Warwick Business School, Financial Econometric Research Centre, (1-12), 1-35.
IBGE. (2024, 29 de outubro). IPCA – Índice Nacional de Preços ao Consumidor Amplo. https://www.ibge.gov.br/estatisticas/economicas/precos-e-custos/9256-indice-nacional-de-precos-ao-consumidor-amplo.html?t=series-historicas&utm_source=landing&utm_medium=explica&utm_campaign=inflacao#plano-real-ano .
Kahneman, D. & Tversky, A. (1974). Judgment under uncertainty: Heuristics and biases. Science, 185(4157), 1124-1131. DOI: 10.1126/science.185.4157.11 DOI: https://doi.org/10.1126/science.185.4157.1124
Kahneman, D. & Tversky, A. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263-291. https://doi.org/10.2307/1914185 DOI: https://doi.org/10.2307/1914185
Lameiras, M. A. P., Fernandes, L. V., Padilha, G. C. R. (2024). Desempenho recente do mercado de trabalho. Carta de Conjuntura IPEA, (64), 1-13.
Liang, B. S. H. L. (2017). Uma investigação do efeito manada nos fundos de investimento imobiliário brasileiros. [Dissertação de Mestrado]. Fundação Getúlio Vargas.
Lobão, J. (2015). Finanças comportamentais: Quando a economia encontra a psicologia. Actual.
Lucena, W. G. L., Costa, A. M. M. & Aragão, F. B. (2013). Finanças comportamentais: Evidências do benefício da aquisição de medicamentos genéricos na população de Caruaru/PE. Interscience Place, 1(27), 139-162. DOI:10.6020/1679-9844/2708 DOI: https://doi.org/10.6020/1679-9844/2708
Melo, C. L. L. de, Mól, A. L. R., Melo, M. A. G. D. de & Rodrigues, R. M. R. C. (2018). Determinantes da aversão à perda em decisões financeiras: Uma investigação por meio de modelos fatoriais. Revista Universo Contábil, 14(1), 115-142. https://doi.org/10.4270/RUC.2018106 DOI: https://doi.org/10.4270/RUC.2018106
Nofsinger, J. R. & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263-2295. https://doi.org/10.1111/0022-1082.00188 DOI: https://doi.org/10.1111/0022-1082.00188
Pinheiro, A. C., Matos, S. (2023). Momento de mudança na Política Monetária. Boletim Macro IBRE, (144), 1-36.
Puckett, A. & Yan, X. S. (2010). The interim trading skills of institutional investors. Journal of Finance, Forthcoming, 1-46. http://dx.doi.org/10.2139/ssrn.1107953 DOI: https://doi.org/10.2139/ssrn.1107953
Rogers, J. L., Skinner, D. J. & Zechman, S. L. C. (2016). The role of the media in disseminating insider-trading news. Review of Accounting Studies, 21, 711-739. https://doi.org/10.1007/s11142-016-9354-2 DOI: https://doi.org/10.1007/s11142-016-9354-2
Seven, Ü. & Yilmaz, F. (2021). World equity markets and COVID-19: Immediate response and recovery prospects. Research in
International Business and Finance, 56, 1-13. https://doi.org/10.1016/j.ribaf.2020.101349 DOI: https://doi.org/10.1016/j.ribaf.2020.101349
Silva, J. S. O. (2010). O comportamento do investidor documentado pelas finanças comportamentais. [Tese de Doutorado]. Universidade de Aveiro.
Silva, V. M. & Lucena, W. G. L. (2019). Finanças comportamentais: análise dos fatores do efeito manada em empresas listadas na B3. Revista Catarinense da Ciência Contábil, 18, 1-20. DOI: https://doi.org/10.16930/2237-766220192730 DOI: https://doi.org/10.16930/2237-766220192730
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. 2007. The Journal of Finance, 62(3), 1139-1168. https://doi.org/10.1111/j.1540-6261.2007.01232.x DOI: https://doi.org/10.1111/j.1540-6261.2007.01232.x
Waweru, N. M., Munyoki, E. & Uliana, E. O. (2008). The effects of behavioural factors in investment decision-making: a survey of institutional investors operating at the Nairobi Stock Exchange. International Journal of Business and Emerging, 1(1), 24-41. DOI:10.1504/IJBEM.2008.019243 DOI: https://doi.org/10.1504/IJBEM.2008.019243
Yoshinaga, C. E. & Ramalho, T. B. (2014). Finanças comportamentais no Brasil: Uma aplicação da teoria da perspectiva em potenciais investidores. Revista Brasileira de Gestão de Negócios, 16(53), 594-615. DOI: 10.7819/rbgn.v16i52.1865 DOI: https://doi.org/10.7819/rbgn.v16i53.1865
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Silvia Franco de Oliveira, Guilherme Graziani Romaris
This work is licensed under a Creative Commons Attribution 4.0 International License.
Until 2023, copyright was transferred by the authors to ReA/UFSM. As of 2024, the authors of articles published by the journal retain the copyright to their work. ReA/UFSM operates under a Creative Commons Attribution 4.0 International License (CC BY 4.0), which permits unrestricted reuse and distribution of articles, provided the original work is properly cited.
