ANALISIS PENDETEKSIAN HERDING BEHAVIOUR PADA BURSA SAHAM EMERGING DAN DEVELOPED MARKET ASIA (Negara Indonesia, China, Singapura dan Jepang) TAHUN 2012-2016
Abstract: Herding behaviour is
one of investor’s irrasional behaviour that investors make decisions by
following other investors' decisions or following a market consensus and tend
not to use their own analysis in making their investment decisions. Herding
behavior can affect the stability of the stock market because the market index
value in the stock market will lead to a new price equilibrium, so it does not
reflect the economic condition.
This research tries to detect
whether there is any herding
behavior by investors
in emerging market and developed market, which are Indonesia, China,
Singapore and Japan stock exchange. By looking at the relationship between
Cross Sectional Absolute Deviation (CSAD) and market return, the herding
behavior on the stock market can be known. This study used a quantile
regression analysis because detection of herding was done under different
conditions of market. Which the condition is market stress normal and high return.
The results of this study shows that herding behavior detected on the
emerging market which is Indonesia and China stock market on the high return
market condition, that means investors on the emerging market stock exchange do
herding so it can be concluded investors in emerging market
has an irrational
behavior. While herding behaviour not
detected on the developed
market which is Japan
an Singapore stock
market, that means
investors on the developed market country has a rational behavior
Keywords: herding behavior,
market return, CSAD, quantile regression
Penulis: Hana Sendy,
Prasetiono Prasetiono
Kode Jurnal: jpmanajemendd170776
