Current issue
News
From the Editors June 2022
Invitation
From the Editors September 2022
From the Editors November 2022
From the Editors January 2023
From the Editors March 2023
From the Editors September 2023
From the Editors December 2023
From the Editors September 2024
Archive
About the journal
About us
Focus and Scope
Editorial Team
Open Access Policy
Indexing and points
Contact
Subscription - print version of the journal
Business Model
Ethics statement
ORIGINAL ARTICLE
Herding Behavior: intensification and flow in the Indonesian Stock Market
1
Management, Universitas Negeri Yogyakarta, Indonesia
Submission date: 2022-07-14
Final revision date: 2022-09-08
Acceptance date: 2022-09-09
Online publication date: 2022-09-28
Publication date: 2022-09-28
Corresponding author
Economic and Regional Studies 2022;15(3):350-366
KEYWORDS
TOPICS
ABSTRACT
Subject and purpose of work: This paper explores whether herding behavior is formed according to the type of investor, how long the transmission of herding behavior occurs, and identifies how big the reaction of herding behavior is and how the flow of herding behavior connects between investors. Materials and methods: The population in this study are companies whose shares are listed in the LQ45 index list for the period January 2015 to December 2017 on the Indonesia Stock Exchange. To find out further about herding behavior, a VAR test will be conducted in this study. Results: The results of herding behavior analysis, based on the type of investor on the Indonesia Stock Exchange, show that there is herding behavior in each type of similar investor. Moreover, there is a certain period for the spread of herding behavior by type of shareholder. Conclusions: The most influential variables on the four types of successive investors are domestic institutional investors, individual foreigners, domestic individuals, and foreign institutions. The four types of investors respond differently to herding behavior.
REFERENCES (27)
1.
Arisanti, I., & Asri, M. (2018). Herding behavior of post IPO In Indonesia Stock Exchange. Journal of Accounting and Investment, 19(2). https://doi.org/10.18196/jai.1....
2.
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–151. https://doi.org/10.1257/jep.21....
3.
Barber, B. M., & Odean, T. (2013). The behavior of individual investors. Handbook of the economics of finance, 2 (Issue PB). Elsevier B.V. https://doi.org/10.1016/B978-0....
4.
BenSaïda, A. (2014). Herding behavior and trading volume: Evidence from the American indexes. International Review of Management & Business Research, 705–722.
5.
Bikhchandani, S., & Sharma, S. (2001). Herd behavior in financial markets. Herd Behavior, 24(1), 69–72. https://doi.org/10.1111/j.1532....
6.
Boyer, B. H., Kumagai, T., & Yuan, K. (2006). How do crises spread? Evidence from accessible and inaccessible stock indices. Journal of Finance, 61(2), 957–1003. https://doi.org/10.1111/j.1540....
7.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1....
8.
Chen, Y. F., Yang, S. Y., & Lin, F. L. (2012). Foreign institutional industrial herding in Taiwan stock market. Managerial Finance, 38(3), 325–340. https://doi.org/10.1108/030743....
9.
Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking and Finance, 34(8), 1911–1921. https://doi.org/10.1016/j.jban....
10.
Demirer, R., Kutan, A. M., & Chen, C. Da. (2010). Do investors herd in emerging stock markets?: Evidence from the Taiwanese market. Journal of Economic Behavior and Organization, 76(2), 283–295. https://doi.org/10.1016/j.jebo....
11.
Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3–5), 603–615. https://doi.org/10.1016/0014-2....
12.
Erdenetsogt, A., & Kallinterakis, V. (2016). Investors’ herding in frontier markets: evidence from Mongolia. In Handbook of frontier markets: The African, European and Asian evidence. (Issue 2013). Elsevier Inc. https://doi.org/10.1016/B978-0....
13.
Faradynawati, Purba, A. V., & Agung, I. A. (2012). An examination of herd behavior in the Indonesian equity market. International Journal of Economics and Finance, 5(1). https://doi.org/10.5539/ijef.v....
14.
Gutierrez, R. C., & Kelley, E. K. (2009). Institutional herding and future stock returns. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1....
15.
Hirshleifer, D., & Hong Teoh, S. (2003). Herd behaviour and cascading in capital markets: A review and synthesis. European Financial Management, 9(1), 25–66. https://doi.org/10.1111/1468-0....
16.
Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585–616. https://doi.org/10.1016/j.jemp....
17.
Jeon, J. Q., & Moffett, C. M. (2010). Herding by foreign investors and emerging market equity returns: Evidence from Korea. International Review of Economics and Finance, 19(4), 698–710. https://doi.org/10.1016/j.iref....
18.
Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23–43. https://doi.org/10.1016/0304-4....
19.
Luong, L. P., & Ha, D. T. T. (2011). Behavioral factors influencing individual investors’ decision-making and performance: A survey at the Ho Chi Minh Stock Exchange. 115.
20.
Nofsinger, J. R., & Sias, R. W. (1999). Herding and feedback trading by institutional and individual investors. The Journal of Finance, 54(6), 2263–2295.
21.
Odean, T., (1999). Do Investors Trade Too Much? American Economic Review, 89 (5), 1279-1298. DOI: 10.1257/aer.89.5.1279.
22.
Prosad, J. M., Kapoor, S., & Sengupta, J. (2012). An examination of herd behavior: An empirical evidence from Indian equity market. International Journal of Trade, Economics, and Finance, 3(2), 154–157. https://doi.org/10.7763/ijtef.....
23.
Rauf-i-Azam, Imran H., A., & Riaz, L. (2012). Impact of psychological factors on investment decision making mediating by risk perception: A conceptual study. Middle-East Journal of Scientific Research, 12(6), 789–795. https://doi.org/10.5829/idosi.....
24.
Saastamoinen, J. (2008). Quantile regression analysis of dispersion of stock returns-evidence of herding? Finland: University of Joensuu.
25.
Tan, L., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific Basin Finance Journal, 16(1–2), 61–77. https://doi.org/10.1016/j.pacf....
26.
Tristantyo, R. W., & Arfianto, E. D. (2014). Analisis perilaku herding berdasarkan tipe investor dalam kepemilikan saham. p. 115.
27.
Wijayanto, H., Achsani, N. A., Ode, L., Rahman, A., & Gunawan. (2011). Detection of herding behavior on Indonesia and Asia Pacific stock market. Forum Statistika dan Komputasi, 16(2), 16–23.
| eISSN: | 2451-182X |
| ISSN: | 2083-3725 |
Digitalization of Economic and Regional Studies/ Studia Ekonomiczne i Regionalne – task financed under the agreement No. 819/P-DUN/2018 by the Minister of Science and Higher Education allocated to the activities of disseminating science.
© 2006-2024 Journal hosting platform by Bentus
We process personal data collected when visiting the website. The function of obtaining information about users and their behavior is carried out by voluntarily entered information in forms and saving cookies in end devices. Data, including cookies, are used to provide services, improve the user experience and to analyze the traffic in accordance with the Privacy policy. Data are also collected and processed by Google Analytics tool (more).
You can change cookies settings in your browser. Restricted use of cookies in the browser configuration may affect some functionalities of the website.
You can change cookies settings in your browser. Restricted use of cookies in the browser configuration may affect some functionalities of the website.
