ПОВЕДІНКОВІ ФІНАНСИ: ТЕОРЕТИЧНІ ОСНОВИ ТА ЕМПІРИЧНІ ОЗНАКИ

The purpose of this paper is to provide insights into achievements of scientific studies in various fields which have been reflected in modern finance, particularly in behavioral finance, as well as to consider some patterns of individual behavior which influence the effectiveness of investments in the financial market. The paper is based on the review of the existing theoretical  in different fields of study. The necessity of studying behavioral finance as an important direction of modern financial science is considered. The main theories from different fields of studies which influence the formation of behavioral finance as a scientific direction are highlighted. The empirical evidence of some aspects of the irrational behavior and its influence on the effectiveness of the financial processes. The findings are likely to be useful for practitioners and researchers to gain knowledge about the background of behavioral finance. From a practical point of view, the possibility of synthesizing various approaches to people's behavior allows us to use the obtained results in building more efficient processes in the financial environment. The paper contributes to the discussion about the rational and irrational behavior and its influence on the processes in finance.Метою даної статті є розуміння досягнень наукових досліджень у різних галузях, що знайшли відображення в сучасних фінансах, зокрема у поведінкових фінансах, а також деяких закономірностей поведінки людей, які впливають на ефективність інвестицій фінансового ринку. Розглянуто необхідність вивчення поведінкових фінансів як важливого напряму сучасної фінансової науки. Висвітлено основні теорії різних галузей досліджень, які впливають на формування поведінкових фінансів як наукового напряму. Наведені емпіричні докази деяких аспектів ірраціональної поведінки та її впливу на ефективність фінансових процесів. Отримані результати, можуть бути корисними практикам та дослідникам для отримання знань про поведінкові фінанси. З практичної точки зору можливість синтезу різних підходів до поведінки людей дозволяє використовувати отримані результати для побудови більш ефективних процесів у фінансовому середовищі. Стаття сприяє дискусії про раціональну та ірраціональну поведінку та її вплив на процеси у фінансах

The effects of twitter sentiment on renewable energy stock's returns : a Portuguese study about EDP renováveis stocks

Investors’ rationality in the decision-making process has been topic of discussion in the last decades due to conflicts between schools of thought. Several anomalies in the Efficient Market Hypothesis (EMH) led to a new line of thought in the matter of rationality called behavior finance. Sentiment analysis is one branch of this new school of thought who studies investors’ emotions influence on economic variables. There is no consensus between academics if these emotions can make the investment decision biased or not. The aim of this paper is to observe if the prevailing sentiment in tweets can predict the stock returns for a renewable energy company of the Portuguese market. This study looks at the second biggest company by capitalizations of the Portuguese market, EDP Renováveis (EDPR), in the period from the June 1st 2021, to June 1st 2022, and finds no significant evidence of a relationship between Twitter mood and EDP Renováveis stock returns. The reasons for this result might be explained by EDPR belonging to a very small and concentrated market, corroborating the existing theory, as well as the stakeholder composition of the company only having a very small percentage of individual investors, being this kind of investors the most influenced by biases and heuristics present in the tweets. These findings have implications for the development of the sentiment analysis theory, giving more details of the influence of sentiment in smaller and concentrated market, in the renewable energy branch, and in the period of the beginning of the war between Ukraine and Russia and the worldwide economic recovery from the Covid-19 pandemic.A racionalidade dos investidores no processo de decisão de investimento tem sido tópico de discussão nas últimas décadas devido ao conflito entre duas linhas de pensamento diferentes. Várias anomalias que não iam de encontro com a hipótese do mercado eficiente deram origem a uma nova escola de pensamento em relação à racionalidade dos investidores chamada de finanças comportamentais. Análise de sentimentos é um dos ramos desta nova linha de pensamento que estuda a influência das emoções dos investidores em diferentes variáveis económicas. Não existe consenso entre académicos se estas emoções conseguem enviesar as decisões de investimento ou não. O objetivo desta tese é observar se o sentimento presente em tweets consegue fazer prever os retornos das ações de uma empresa de energias renováveis do mercado português. Este estudo analisa a segunda maior empresa portuguesa por capitalizações, a EDP Renováveis (EDPR), no período temporal entre o dia 1 de junho de 2021 e o dia 1 de julho de 2022, e não encontrou evidência com significância de uma relação entre o estado de espírito do Twitter e os retornos das ações da EDP Renováveis. As razões que justificam estes resultados podem ser o facto da EDPR pertencer a um mercado muito pequeno e concentrado como o português, indo de encontro com a evidência empírica, assim como a composição dos proprietários das ações da empresa ter uma percentagem muito reduzida de investidores individuais, que são o tipo de investidor mais facilmente influenciado por heurísticas presentes nos tweets. Este resultado tem implicações para o desenvolvimento da teoria de análise do sentimento, dando mais detalhes da influência deste em mercados mais pequenos e concentrados, no ramo das energias Renováveis, no período de tempo do início da guerra entre a Ucrânia e a Rússia e a recuperação financeira mundial pós-Covid-19

Herding in Financial Markets and Its Impact on Stock Market Volatility : Evidence from European stock markets

ABSTRACT : Herd behavior, or the action of investors following other investors, has been widely dis-cussed in academic literature in the field of behavioral finance. Behavioral finance anomalies can have important implications for stock market dynamics, particularly with respect to mar-ket volatility. This paper examines the presence of herding in the European financial markets between the years 2017 to the beginning of the year 2023. The herding behavior is being examined in the European stock markets using the Cross-Sectional Standard Deviation, CSSD, model by Chang and Huang (1995) and the Cross-Sectional Absolute Deviation, CSAD, model by Chang, Cheng and Khorana (2000). Furthermore, this paper examines whether herd be-havior has had an impact on market volatility and vice versa. This is being measured by com-bining the herding measures with two different volatility measures, Generalized Autoregres-sive Conditional Heteroskedasticity, GARCH, and Exponentially Weighted Moving Average, EWMA, models. From the empirical research this study finds that herding has occurred during the most bear-ish days during the period between 1.1.2020 to 31.1.2023, which is referred as the crisis peri-od since there has been global Covid-19 pandemic and the outbreak of the Russo-Ukrainian war during the crisis period. Moreover, both herding measures showed increasing herding compared to the crisis period. No herding was detected during the pre-crisis period. This study also found that herding has a decreasing effect on market volatility both during the pre-crisis and crisis periods. The results showed no clear pattern that an increase in volatility automatically increases herding but showed that herding does increase during the most vola-tile period in the European stock market. The effect of herding on volatility has been an open issue and the result from this study sup-ports the most recent study conducted of the matter but contradicts some of the earlier studies. Overall, this thesis provides valuable insights into the investor’s behavior during tur-bulent market conditions, and the impact of that behavior on market volatility. The results are valuable for investors to better manage risks when acting in the financial markets.TIIVISTELMÄ : Laumakäyttäytymisestä, eli sijoittajien tavasta imitoida muita sijoittajia, on ollut laajasti kes-kustelua akateemisessa kirjallisuudessa käyttäytymistaloustieteen viitekehyksessä. Käyttäy-tymistaloustieteen tunnistamilla rationaalisen käyttäytymisen poikkeamilla voi olla tärkeitä vaikutuksia osakemarkkinoiden dynamiikkaan, erityisesti markkinoiden volatiliteetin osalta. Tässä tutkielmassa tarkastellaan laumakäyttäytymisen esiintymistä Euroopan rahoitusmark-kinoilla vuosien 2017 ja 2023 alun välillä. Laumakäyttäytymistä tutkitaan Euroopan osake-markkinoilla käyttämällä Christien ja Huangin (1995) CSSD-mallia ja Changin, Chengin ja Kho-ranan (2000) CSAD-mallia. Lisäksi tässä tutkimuksessa tutkitaan, onko laumakäyttäytymisellä ollut vaikutusta markkinoiden volatiliteettiin ja päinvastoin, sekä voiko volatiliteetti laukaista laumakäyttäytymisen. Tätä mitataan yhdistämällä laumakäyttäytymisen mittarit kahteen eri-laiseen volatiliteettimittariin, GARCH ja EWMA-malleihin. Empiirisen tutkimuksen perusteella tämä tutkimus osoittaa, että laumakäyttäytymistä on havaittavissa markkinoiden suurimpina laskupäivinä aikavälillä 1.1.2020 - 31.1.2023, jota kutsu-taan kriisijaksoksi. Kriisijakso sisältää Covid-19 pandemian ja Venäjän aloittaman hyökkäysso-dan Ukrainaan. Lisäksi molemmat laumakäyttäytymistä havaitsevat mittarit osoittivat lisään-tyvää laumakäyttäytymistä verrattuna kriisijaksoon. Ennen kriisijaksoa ei havaittu laumakäyt-täytymistä. Tämä tutkimus osoittaa myös, että laumakäyttäytymisellä on hillitsevä vaikutus markkinoiden volatiliteettiin sekä ennen kriisijaksoa että sen aikana. Tulokset eivät osoitta-neet selkeää kaavaa, jonka mukaan volatiliteetin lisääntyminen automaattisesti lisää lauma-käyttäytymistä, mutta osoittivat, että laumakäyttäytyminen lisääntyy markkinoiden volatii-leimpien jaksojen aikana Euroopan osakemarkkinoilla. Laumakäyttäytymisen vaikutus volatiliteettiin on ollut avoin kysymys ja tämän tutkimuksen tulos tukee osittain viimeisintä aihetta käsittelevää tutkimusta, mutta on ristiriidassa joiden-kin aikaisempien tutkimusten kanssa. Tämä tutkimus tarjoaa näkemystä laumakäyttäytymi-sestä turbulenttien ajanjaksojen aikana sekä sen vaikutuksesta markkinoiden volatiliteettiin. Tulokset ovat hyödyllisiä sijoittajien riskinhallinnan kannalta

Study Of The Behavioural Determinants Of Investment In The Era Of The Covid-19 Pandemic Among Socially Responsible Investors In Morocco

Behavioral economics shows the important role of behavioral and psychological determinants in explaining investment decisions and market anomalies. This study aims to examine the behavior of socially responsible individual investors in Morocco in the era of the COVID-19 crisis. This paper contributes to the existing literature on behavioral economics in the Moroccan context. To this end, we conducted a survey of socially responsible investors in Morocco after the initial phase of this pandemic between August and October 2022. The data was gathered through the use of a questionnaire. They were analysed to identify the psychological aspects that may influence socially responsible investors’ investment decisions. The SPSS 21 software package was used to perform Cronbach Alpha, factor analysis, descriptive analysis, and multiple regression procedures. This article aims to investigate the psychological features of behaviour in reaction to fear, risk propensity, risk perception, market volatility anxiety, herd behaviour and the impact of vaccination updates. The results found showed that during the COVID-19 pandemic, behavior responses to fear, market volatility anxiety, risk propensity, and herd behavior influenced the decision-making of socially responsible investors in Morocco

Herding behavior in emerging equity markets during COVID-19 : An investigation of Russian, Taiwanese, and Vietnamese stock markets

This thesis investigates market-wide herding within Russian, Taiwanese, and Vietnamese stock markets during the COVID-19 pandemic. Moreover, the existence of asymmetric herding and industry-specific herding are also examined in more detail by utilizing OLS regressions. Due to the recency of the pandemic and the inconclusive evidence that has been published within the research field, there exists a clear need for further herding-related studies. Thus, an in-depth examination is conducted for three emerging markets that can be considered to be appealing areas for research. At the time of publication, this thesis is also one of the few academic studies to test how market-wide herding has emerged inside the Russian stock market. The main methodology for this study is based on regression analysis where stock return dispersions are used to quantify the level of herding. Moreover, herding is measured by utilizing the cross-sectional absolute deviation (CSAD) approach which can be seen to ultimately stem from the studies conducted by Christie and Huang (1995) and Chang et al. (2000). Besides observing herding during the chosen sample period (01.01.2018-06.05.2022), regression tests are also conducted during shorter subperiods as the sample period is divided into three separate time periods: pre-COVID period, outbreak period, and post-COVID period. The results of this thesis suggest that market-wide herding exists mainly inside Vietnamese stock markets. Surprisingly – and in contrast to numerous previous academic studies – no herding is detected within the Taiwanese stock markets. Inversely, the regression tests imply that Russian and Taiwanese markets have been more prone towards anti-herding behavior during the pandemic time. Based on the results of the empirical part, Russia and Vietnam seem to experience market-wide herding only during down-market days whereas no herding is observed during rising market days in any of the three markets. Finally, industry-specific herding is found to exist only within Vietnamese stock markets. As the findings of this thesis are considered as a whole, it is justified to state that the observed results are inconclusive to a large extent. Due to the unique market characteristics of the chosen stock markets and their historical tendency for market anomalies, one could have expected more pronounced herding-results. In general, it is reasonable to argue that the current research methods within the research field include several limitations and thus can be seen as a partial reason for the inconclusive evidence that highlights herding-related research. Therefore, it is suggested that future research would concentrate more on the shortcomings of the current measures and steer focus towards the development of new herding-related methodologies

Evaluating Innovative Health Programs: Lessons for Health Policy

The Global Development Network’s (GDN) project “Evaluating Innovative Health Programs” (EIHP), funded by the Bill & Melinda Gates Foundation, seeks to inform policy on the effectiveness of health solutions that have the potential to improve health outcomes in developing countries. It evaluates the impact of nineteen programs from across developing and transition countries that focus on the health-related Millennium Development Goals (MDGs) of reducing child and maternal mortality, and halting and reversing the trend of communicable diseases such as HIV/AIDS, malaria and other diseases. The policy implications of the diverse set of interventions are distinguished between programs that involved earmarking resources, changing incentives, and developing innovative methods of health care delivery.Millennium Development Goals; child and maternal health; communicable diseases; impact evaluation; capacity building; Asia; Africa; Latin America

Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009

This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency

Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009

This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency

Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies

This paper reviews the literature on market anomalies and puzzles, providing a comprehensive overview of these complex phenomena that challenge the traditional Efficient Market Hypothesis. The authors examine a wide range of anomalies, including long-term return irregularities, earnings management, information uncertainty, mutual fund performance, day-of-the-week returns, the January effect, weather-induced mood shifts, international asset pricing, weekend anomalies, cryptocurrency efficiency, social transmission bias, emotional finance, biased beliefs, investor optimism, sentiment, global market inefficiencies, the influence of unique events and seasonal factors, and disappearing anomalies in country and industry returns. The authors also discuss the evolving landscape of market anomalies research, including machine learning approaches, investor behavior challenges, and the disappearance of some anomalies over time. They conclude by setting the groundwork for a more holistic comprehension of market anomalies, suggesting future research directions such as exploring new data sources, developing comprehensive theoretical models, and examining the role of technology, market regulations, and environmental changes in market anomalies