O efeito da atenção à pandemia do Covid-19 no retorno de ativos e no sentimento de investidores individuais
Resumen
Objetivo: Verificar o efeito da atenção à pandemia do covid-19 no retorno de ativos e no sentimento de investidores individuais.
Método: O Índice de Volume de Pesquisa foi utilizado como proxy para a atenção do investidor, e para a construção de um nível de atenção robusto. Para medir o retorno, foi empregado tanto o retorno simples quanto o retorno anormal, enquanto o Índice de Felicidade Hedonometer mensurou o sentimento do investidor. Os dados foram analisados com o uso de regressões quantílicas.
Originalidade/Relevância: Existem poucas pesquisas que analisam a atenção do investidor em mercados em desenvolvimento (no Brasil quase não há pesquisas) e principalmente com o uso de métricas de atenção mais diretas. Lacunas literárias são encontradas quanto ao efeito da atenção limitada no mercado de ações e principalmente em sua relação com o sentimento do investidor. Esse estudo se torna relevante ao aprofundar esses campos.
Resultados: A atenção à pandemia do covid-19 impactou negativamente no sentimento do investidor, assim como, o aumento no número de pesquisas teve um impacto negativo nos retornos das ações. Achados justificáveis pela necessidade de alocar atenção, relacionada a atenção limitada dos investidores, em conjunto com o aumento dos riscos e da incerteza dos mercados financeiros em resposta à pandemia, ou as medidas preventivas como o lockdown.
Contribuições teóricas/metodológicas/práticas: As conclusões são úteis para os decisores políticos, bolsas de valores e investidores, à medida que compreende como a extensão da pesquisa na internet (alocação da atenção) influencia os retornos das ações em um contexto de mercados emergentes, em que os mercados dependem principalmente de informações públicas e não públicas com ampla disponibilidade, e como o sentimento do investidor também é afetado pela atenção. Assim como contribui para as lacunas literárias no tocante à atenção limitada e suas consequências psicológicas e econômicas.
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Ashraf, B. N. (2020). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of behavioral and experimental finance, 27, 100371.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Baker, S. R., Farrokhnia, R. A., Meyer, S., Pagel, M., & Yannelis, C. (2020). How does household spending respond to an epidemic? Consumption during the 2020 COVID-19 pandemic. The Review of Asset Pricing Studies, 10(4), 834-862.
Bijl, L., Kringhaug, G., Molnár, P., & Sandvik, E. (2016). Google searches and tock returns. International Review of Financial Analysis, 45, 150-156. https://doi.org/10.1016/j.irfa.2016.03.015
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B3. Brasil, Bolsa, Balcão. (2020). B3 divulga estudo sobre o perfil dos investidores pessoa física na bolsa. Acesso em: 08 de outubro de 2022. Disponível em: http://www.b3.com.br/pt_br/noticias/pessoa-fisica.htm
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Chen, J., Tang, G., Yao, J., & Zhou, G. (2022). Investor attention and stock returns. Journal of Financial and Quantitative Analysis, 57(2), 455-484.
Chen, T. (2017). Investor attention and global stock returns. Journal of Behavioral Finance, 18(3), 358-372.
Chundakkadan, R., & Nedumparambil, E. (2021). In search of COVID-19 and stock market behavior. Global Finance Journal, 54, 100639.
Costa, M. R., Mendes, A. C. A., Silva, M. S., & Lunkes, R. J. (2022). Os Fatores Determinantes Para a Entrada de Pequenos Investidores na Bolsa de Valores do Brasil. Revista de Contabilidade e Controladoria, 14(2), 144-165.
Costola, M., Iacopini, M., & Santagiustina, C. R. (2021). Google search volumes and the financial markets during the COVID-19 outbreak. Finance Research Letters, 42, 101884.
Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499.
De, S., Gondhi, N. R., & Pochiraju, B. (2010). Does sign matter more than size? An investigation into the source of investor overconfidence. An Investigation into the Source of Investor Overconfidence (August 12, 2010). http://dx.doi.org/10.2139/ssrn.1657926
Devault, L., Sias, R., & Starks, L. (2019). Sentiment metrics and investor demand. Journal of Finance, 74(2), 985– 1024.
Ding, R., & Hou, W. (2015). Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, 37, 12-26.
Elton, E., Gruber, M., & Brown, S. (2012). Moderna teoria de carteiras e análise de investimentos. Elsevier Brasil.
Erdem, O. (2020). Freinvestidores começam a exigir maior risco de mercadoedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36, 101671.
Fonseca, S. E. (2022). Fundos de investimento: market timing, sentimento do investidor e incerteza da política econômica. 170f. Tese (doutorado) - Universidade Federal de Minas Gerais, Centro de Pós-Graduação e Pesquisa em Administração, Belo Horizonte.
Galvão Jr, A. F. (2011). Quantile regression for dynamic panel data with fixed effects. Journal of Econometrics, 164(1), 142-157.
Gao, J., Li, H., & Lu, Z. (2023). Impact of COVID-19 on investor sentiment in China's stock markets. Heliyon, 9(10).
Groß-Klußmann, A., & Hautsch, N. (2011). When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. Journal of Empirical Finance, 18(2), 321-340.
Hameed, A., Kang, W., & Viswanathan, S. (2010). Stock market declines and liquidity. The Journal of finance, 65(1), 257-293. https://doi.org/10.1111/j.1540-6261.2009.01529.x
Han, B., Hirshleifer, D., & Walden, J. (2022). Social transmission bias and investor behavior. Journal of Financial and Quantitative Analysis, 57(1), 390-412.
Han, L., Li, Z., & Yin, L. (2017). The effects of investor attention on commodity futures markets. Journal of Futures Markets, 37(10), 1031-1049.
Han, L., Wu, Y., & Yin, L. (2018). Investor attention and currency performance: international evidence. Applied Economics, 50(23), 2525-2551.
Haroon, O., & Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343.
Huang, Y., & Zhang, H. (2020). Does individual investors’ attention influence underwriters’ IPO pricing? Applied Economics, 52(34), 3680-3687.
Huberman, G., & Regev, T. (2001). Contagious speculation and a cure for cancer: A nonevent that made stock prices soar. The Journal of Finance, 56(1), 387-396.
Jiang, B., Zhu, H., Zhang, J., Yan, C., & Shen, R. (2021). Investor sentiment and stock returns during the COVID-19 pandemic. Frontiers in Psychology, 12, 708537.
Kim, N., Lučivjanská, K., Molnár, P., & Villa, R. (2019). Google searches and stock market activity: Evidence from Norway. Finance Research Letters, 28, 208-220.
Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74-89.
Krajbich, I. (2019). Accounting for attention in sequential sampling models of decision making. Current opinion in psychology, 29, 6-11.
Li, X., Shen, D., Xue, M., & Zhang, W. (2017). Daily happiness and stock returns: The case of Chinese company listed in the United States. Economic Modelling, 64, 496-501.
Lim, S. S., & Fteoh, S. H. (2010). Limited attention. Behavioral finance: Investors, corporations, and markets, 295-312.
Lyócsa, Š., Baumöhl, E., Výrost, T., & Molnár, P. (2020). Fear of the coronavirus and the stock markets. Finance research letters, 36, 101735.
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.
Mishra, A. K., Rath, B. N., & Dash, A. K. (2020). Does the Indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST?. Emerging Markets Finance and Trade, 56(10), 2162-2180.
Mondria, J., Wu, T., & Zhang, Y. (2010). The determinants of international investment and attention allocation: Using internet search query data. Journal of International Economics, 82(1), 85-95.
Nguyen, C. P., Schinckus, C., & Hong Nguyen, T. V. (2019). Google search and stock returns in emerging markets. Borsa Istanbul Review, 19(4), 288-296. https://doi.org/10.1016/j.bir.2019.07.001
Nisar, T. M., & Yeung, M. (2018). Twitter as a tool for forecasting stock market movements: A short-window event study. The journal of finance and data science, 4(2), 101-119.
Nogueira Reis, P., & Pinho, C. (2020). COVID-19 and investor sentiment influence on the US and European countries sector returns. Investment Management and Financial Innovations, 17(3), 373-386.
Nunes, M. S., Costa Jr, N. C., & Meurer, R. (2005). A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil. Revista Brasileira de Economia, 59, 585-607.
Oliveira, F. N. de, & Paula, E. L.de (2008). Determinando o grau ótimo de diversificação para investidores usuários de home brokers. Brazilian Review of Finance, 6(3), 439-463. https://doi.org/10.12660/rbfin.v6n3.2008.1347.
Oliveira, G. G (2021). Análise do desempenho de fundos de investimentos em ações brasileiras. 87f. Dissertação (Mestrado) - Universidade de São Paulo, Programa de Pós-Graduação em Engenharia de Produção, São Carlos.
Oliveira, L. P.; Silva, C. A. T (2021). Análise da relação entre Humor Expresso no Twitter, Retorno, Volatilidade e Volume de Negociações no Mercado Acionário Brasileiro. In: XVIII Congresso Internacional de Contabilidade e Auditoria (CICA), Lisboa. Resumos das comunicações do XVIII Congresso Internacional de Contabilidade e Auditoria Contabilidade no Século XXI - Novos Horizontes. Lisboa: Ordem dos Contabilistas Certificados, 2021, 1-164.
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Publicado
2026-01-02
Cómo citar
Farias dos Santos, R., & Tibúrcio Silva, C. A. (2026). O efeito da atenção à pandemia do Covid-19 no retorno de ativos e no sentimento de investidores individuais. Enfoque: Reflexão Contábil, 45(1), 132-154. https://doi.org/10.4025/enfoque.v45i1.71114
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Original Articles
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