AN EXPLORATORY STUDY OF THE DISPOSITION EFFECT ON THE STOCK MARKET DURING THE PANDEMIC

Abstract

This study aims to analyze the intraday disposition effect for each stock trading during the COVID-19 pandemic and to identify macroeconomic or financial variables that can explain the effect. The study proposes different intraday metrics of disposition effect. We show a high proportion of sellers at bull markets. In March, there is a significant increase in buying and selling trading volume. The results suggest that disposition effect is affected by the Ibovespa return and volatility when the stock prices go up and by the Ibovespa return, when go down.