Analisis Perilaku Herding Berdasarkan Kondisi Pasar Dengan Asimetri Informasi Sebagai Variabel Pemoderasi
Abstract
The research aims to detect the occurrence of herding behavior as a whole as well as in up market conditions or down market conditions. The study added information asymmetry as a moderating variable. This study uses the Cross Sectional Absolute Deviation (CSAD) method. The total sample in this study was 661 companies with 242 days of observation. The results of this study found that generally in 2020 herding occurred on the Indonesia Stock Exchange. Herding was also found in up market conditions but different things were found in down market conditions, namely herding was not found. Interestingly, this study found that information asymmetry is a moderating variable that strengthens the occurrence of herding.
Keywords: Herding; Up and Down Market Condition; Information Asymetri.
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References
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Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An Examination of Herd Behavior In Equity Markets: An International Perspective. Journal of Banking & Finance. 24(10), 1651-1679. https://doi.org/10.1016/S0378-4266(99)00096-5
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Gunawan, G., Wijayanto, H., Achsani, N. A., Ode, L., & Rahman, A. (2011). Pendeteksian Perilaku Herding Pada Pasar Saham Indonesia Dan Asia Pasifik (Detection of Herding Behavior on Indonesia and Asia Pacific Stock Market). Forum Statistika Dan Komputasi, 16(2), 16–23.
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Kremer, S., & Nautz, D. (2013). Causes and consequences of short-term institutional herding. Journal of Banking and Finance, 37(5), 1676–1686. https://doi.org/10.1016/j.jbankfin.2012.12.006
Lao, P., & Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics, 22(6), 495–506. https://doi.org/10.1016/j.asieco.2011.08.001
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Rahayu, A. D., Putra, A., Oktaverina, C., & Ningtyas, R. A. (2019). Analisis Faktor Faktor Determinan dan Perilaku Herding Di Pasar Saham. IMAGE: Jurnal Riset Manajemen. 8(2), 45–59.
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Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif dan Kombinasi (Mixed methods). Bandung: Alfabeta
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio Edisi Pertama Cetakan Pertama. Yogyakarta: BPFE
Tjahjono, N. A., & Wulandari, P. P. (2019). Analisis Perilaku Herding Pada Saham Blue Chips dan Non-Blue Chips Di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya. 7(2), 1-11.
Venezia, I., Nashikkar, A., & Shapira, Z. (2011). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking and Finance, 35(7), 1599–1609. https://doi.org/10.1016/j.jbankfin.2010.11.015
Zakirullah, Z., & Rahmawati, S. (2020). Faktor-Faktor Yang Berkontribusi Terhadap Perilaku Herding Pada Investor Saham Ritel Di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen, 5(1), 1–23.
Anggara, A., & Mustafa, M. H. (2020). Does Herding Behavior Exist in the IDX Sectoral Indices. International Journal of Innovative Science and Research Technology, 5(8), 642–648. https://doi.org/10.38124/ijisrt20aug253
Bikhchandani, S., & Sharma, S. (2001). Herd behavior in financial markets. IMF Staff Papers, 47(3), 279–310.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An Examination of Herd Behavior In Equity Markets: An International Perspective. Journal of Banking & Finance. 24(10), 1651-1679. https://doi.org/10.1016/S0378-4266(99)00096-5
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.jbankfin.2009.12.014
Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market?. Financial Analysts Journal, 51(4), 31–37. https://doi.org/10.2469/faj.v51.n4.1918
Fransiska, M., Sumani, S., Willy, W., & Pangestu, S. (2018). Herding Behavior in Indonesian Investors. International Research Journal of Business Studies, 11(2), 129–143. https://doi.org/10.21632/irjbs.11.2.129-143
Gunawan, G., Wijayanto, H., Achsani, N. A., Ode, L., & Rahman, A. (2011). Pendeteksian Perilaku Herding Pada Pasar Saham Indonesia Dan Asia Pasifik (Detection of Herding Behavior on Indonesia and Asia Pacific Stock Market). Forum Statistika Dan Komputasi, 16(2), 16–23.
Komalasari, P. T. (2016). Information Asymmetry and Herding Behavior. Jurnal Akuntansi Dan Keuangan Indonesia, 13(1), 70–85. https://doi.org/10.21002/jaki.2016.04
Koputra, T., & Mahadwartha, P. A. (2021). Herding Behavior Detection: Bullish and Bearish Cases. Proceedings of the 18th International Symposium on Management (INSYMA 2021). 180, 11–15. https://doi.org/10.2991/aebmr.k.210628.003.
Kremer, S., & Nautz, D. (2013). Causes and consequences of short-term institutional herding. Journal of Banking and Finance, 37(5), 1676–1686. https://doi.org/10.1016/j.jbankfin.2012.12.006
Lao, P., & Singh, H. (2011). Herding behaviour in the Chinese and Indian stock markets. Journal of Asian Economics, 22(6), 495–506. https://doi.org/10.1016/j.asieco.2011.08.001
Liem, W. K. A., & Sukamulja, J. S. (2017). Perilaku Herding Pada Indeks Sektoral Dan Saham-Saham Terpilih. Mycological Research, 9, 207–221.
Mendez, C. E., & Arias, J. (2021). COVID-19 effect on herding behaviour in European capital markets. Finance Research Letters, 38, 1-6. https://doi.org/10.1016/j.frl.2020.101787
Noviliya, H. S., & Prasetiono. (2017). Analisis Pendeteksian Herding Behaviour Pada Bursa Saham Emerging dan Developed Market Asia (Negara Indonesia, China, Singapura dan Jepang) Tahun 2012-2016. Diponegoro Journal of Management. 6(3), 1-11.
Pasaribu, H. Z., & Sadalia, I. (2018). Analisis Perilaku Hearding Investor Pada Saham LQ-45 di Pasar Modal Indonesia. Talenta Conference Series: Local Wisdom, Social, and Arts (LWSA), 1(2), 408–418. https://doi.org/10.32734/lwsa.v1i2.215
Pradikasari, E., & Isbanah, Y. (2018). Pengaruh Financial Literacy, Illusion of Control, Overconfidence, Risk Tolerance, dan Risk Perception Terhadap Keputusan Investasi Pada Mahasiswa di Kota Surabaya. Jurnal Ilmu Manajemen (JIM), 6(4), 424–434.
Rahayu, A. D., Putra, A., Oktaverina, C., & Ningtyas, R. A. (2019). Analisis Faktor Faktor Determinan dan Perilaku Herding Di Pasar Saham. IMAGE: Jurnal Riset Manajemen. 8(2), 45–59.
Rahmawati, W. T. (2021). Investor Muda Meningkat, BEI Menekankan Pentingnya Edukasi Tentang Pasar Modal. Retrieved from: https://investasi.kontan.co.id/news/investor-muda-meningkat-bei-menekankan-pentingnya-edukasi-tentang-pasar-modal. [cited 2021 April 24]
Ramadhan, T., & Mahfud, M. K. (2016). Deteksi Perilaku Herding pada Pasar Saham Indonesia dan Singapura Tahun 2011-2015. Dipenogoro Journal of Management, 5(2), 1–9.
Rizal, N. A., & Damayanti, M. K. (2019). Herding Behavior in the Indonesian Islamic Stock Market. Journal of Islamic Monetary Economics and Finance, 5(3), 673–690. https://doi.org/10.21098/jimf.v5i3.1079
Safitri, K. (2021). Menyikapi Kenaikan Investor Ritel, Apa Saja yang Perlu Diperhatikan. Retrieved from: https://money.kompas.com/read/2021/0
2/23/104929726/menyikapi-kenaikan-investor-ritel-apa-saja-yang-perlu-diperhatikan. [cited 2021 April 20]
Shah, M. U. D., Shah, A., & Khan, S. U. (2017). Herding behavior in the Pakistan stock exchange: Some new insights. Research in International Business and Finance, 42, 865–873. https://doi.org/10.1016/j.ribaf.2017.07.022
Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif dan Kombinasi (Mixed methods). Bandung: Alfabeta
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio Edisi Pertama Cetakan Pertama. Yogyakarta: BPFE
Tjahjono, N. A., & Wulandari, P. P. (2019). Analisis Perilaku Herding Pada Saham Blue Chips dan Non-Blue Chips Di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya. 7(2), 1-11.
Venezia, I., Nashikkar, A., & Shapira, Z. (2011). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking and Finance, 35(7), 1599–1609. https://doi.org/10.1016/j.jbankfin.2010.11.015
Zakirullah, Z., & Rahmawati, S. (2020). Faktor-Faktor Yang Berkontribusi Terhadap Perilaku Herding Pada Investor Saham Ritel Di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen, 5(1), 1–23.
Published
2022-03-26
How to Cite
SUGIANTARA, Putu Wira.
Analisis Perilaku Herding Berdasarkan Kondisi Pasar Dengan Asimetri Informasi Sebagai Variabel Pemoderasi.
E-Jurnal Akuntansi, [S.l.], v. 32, n. 3, p. 721-734, mar. 2022.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/82979>. Date accessed: 14 nov. 2024.
doi: https://doi.org/10.24843/EJA.2022.v32.i03.p13.
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