Analisis Perilaku Herding pada Indeks Sri-Kehati saat Kondisi Pandemi COVID-19
Abstract
This study aims to analyze the presence of herding behavior on the SRI-KEHATI Index for the period January 2, 2020 to December 30, 2021. Herding behavior can be identified through the relationship between stock return dispersion and market return. In calculating stock return dispersion using the Cross Sectional Absolute Deviation or CSAD method. This study uses data on the daily closing price of the SRI-KEHATI index and data on the daily prices of 17 company stocks that are always on the SRI-KEHATI index during the observation period. The analytical method used is ordinary least square regression analysis. The time period used is when the market is in a state of uncertainty which is indicated by more herding behavior. The results showed that there was no indication of herding behavior on the SRI-KEHATI Index during the COVID-19 Pandemic condition which was marked by no non-linear relationship between the CSAD variable and the squared market return variable.
Keywords: Herding Behavior; CSAD; Market Return.
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References
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Gunawan, Wijayanto, H., Achsani, N. A., & Rahman, L. O. 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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Jauzaa, A., Khayati, A., & Giovanni, A. (2022). Perilaku Herding pada Jakarta Islamic Index (JII). Jurnal Pasar Modal Dan Bisnis, 4(1), 81–92. https://doi.org/10.37194/JPMB.V4I1.117
Khalisa, A., Karismasari, C. K., Ikhsan, H. H., & Saraswati, N. (2020). Pengaruh Behavioral FactorsTerhadap Pengambilan Keputusan Investasi Finansial Individu. Indonesian Business Review, 3(1), 15–35. https://doi.org/10.21632/ibr.3.1.15-35
Lin, W. T., Tsa, S.-C., & Lung, P.-Y. (2013). Investors’ Herd Behavior: Rational orIrrational? Asia-Pacific Journal of Financial Studies, 42, 755–776.
Liu, S., Gao, L., Latif, K., Dar, A. A., Zia-UR-Rehman, M., & Baig, S. A. (2021). The Behavioral Role of Digital Economy Adaptation in Sustainable Financial Literacy and Financial Inclusion. Frontiers in Psychology, 12(November), 1–11. https://doi.org/10.3389/fpsyg.2021.742118
Luong, L. P., & Ha, D. T. T. (2011). Behavioral Factors Influencing Individual Investors’ Decision-Making and Performance. UMEA Universitet.
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ÖZSU, H. H. (2015). Empirical Analysis of Herd Behavior in Borsa Istanbul. International Journal of Economic Sciences, IV(4), 27–52. https://doi.org/10.20472/es.2015.4.4.003
Park, B.-J., & Kim, M.-J. (2017). A Dynamic Measure of Intentional Herd Behavior in Financial Markets. In Munich Personal RePEc Archive (Issue 82025).
Polakitan, C. D. (2015). Analisis Komparasi Resiko Saham Yang Terdaftar pada Index LQ-45 dan Non LQ-45. Jurnal Riset Bisnis Dan Manajemen, 3, 61–72.
Pranyoto, E., Bisnis, E., Informatika, I., Alam, J. Z. A. P., Ratu, N. L., & Lampung, B. (2020). Herding Behavior, Experienced Regret Dan Keputusan Investasi Pada Bitcoin. Jurnal Bisnis Darmajaya, 6(1), 29–43.
Rahayu, A. D., Putra, A., Oktaverina, C., & Ningtyas, R. A. (2019). Perilaku Herding Di Pasar Saham: Sebuah Kajian Literatur. Journal of Business Management Education (JBME), 4(3), 67–80. https://doi.org/10.17509/jbme.v4i3.22091
Rahayu, S., Rohman, A., & Harto, P. (2021). Herding Behavior Model in Investment Decision on Emerging Markets: Experimental in Indonesia. Journal of Asian Finance, Economics and Business, 8(1), 053–059. https://doi.org/10.13106/jafeb.2021.vol8.no1.053
Rahayu, S., Rohman, A., Harto, P., Utomo, M. N., & Safitri, J. (2020). Supply Chain Herding Behavior Management in Investment Decision among Investors at Indonesia Stock Exchange: Experimental Study on the Social Effect of Established Investors and the Informative Effect of Information Regarding Earning Per Share Value. International Journal of Supply Chain Management, 9(6), 200–208.
Rahman, R. E., & Ermawati. (2019). Analisis Herding Behavior di Pasar Saham : Studi Kasus ASEAN-5 + US.
Ramadan, I. Z. (2015). Cross-Sectional Absolute Deviation Approach for Testing the Herd Behavior Theory: The Case of the ASE Index. International Journal of Economics and Finance, 7(3), 188–193. https://doi.org/10.5539/ijef.v7n3p188
Ravanola, V. V. (2017). Deteksi dan identifikasi pembentuk perilaku herding pada indeks harga saham gabungan (ihsg) periode 2008 dan 2016. Jurnal Ilmiah Mahasiswa FEB, 5(2), 1–20.
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
Shusha, A. A., & Touny, M. A. (2016). The Attitudinal Determinants of Adopting the Herd Behavior: An Applied Study on the Egyptian Exchange. Journal of Finance and Investment Analysis, 5(1), 55–69.
Sihombing, N., Sadalia, I., & Wibowo, R. P. (2021). Analysis of Herding Behavior of Investors in the Banking Industry in Indonesian Stock Market for February-June 2020 Period. International Journal of Research and Review, 8(3), 2–9.
Szyszka, A. (2013). Behavioral finance and capital markets: How psychology influences investors and corporations. In Behavioral Finance and Capital Markets: How Psychology Influences Investors and Corporations. https://doi.org/10.1057/9781137366290
Wardani, S. S. (2021). Analisis Perilaku Herding Pada Saham Lq- Indonesia. Jurnal Ilmiah FEB, 9(2), 3–22.
Wareza, M. (2019). Hari Terakhir Bursa 2019, Investor Pasar Modal Capai 2,4 Juta. Cnbcindonesia.Com. https://www.cnbcindonesia.com/market/20191230142312-17-126472/hari-terakhir-bursa-2019-investor-pasar-modal-capai-24-juta
Wibowo, B. (2019). Idiosyncratic Volatility and Herd Behavior: Indonesia Stock Market Case. Jurnal Bisnis Dan Manajemen, 20(1), 49–58. https://doi.org/10.24198/jbm.v20i1.275
Widyastuti, A. (2012). Behavioural Finance dalam Proses Pengambilan Keputusan. In Lmfe Unpad.
Wijaya, L. I., & Zunairoh. (2021). Factor Analysis of Investor Behavior in Indonesian Stock Exchange during COVID-19 Pandemic. Journal of Hunan University, 48(8), 243–254.
Yousaf, I., Ali, S., & Shah, S. Z. A. (2018). Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market. In Financial Innovation (Vol. 4, Issue 1). https://doi.org/10.1186/s40854-018-0098-9
Yuningsih. (2020). Perilaku Keuangan dalam Berinvestasi (Laboratorium Experiment dan Field Eksperiment) (Pertama). Indomedia Pustaka.
Baker, H. K., & Nofsinger, J. R. (2010). Behavioral Finance: Investors, Corporations, and Markets. John Wiley & Sons, Inc.
Candy, & Novita, I. (2021). Herding Behavior of Indonesia Investor : Role of Personality Traits and Motivation Factors. International Journal of Economics, Business and Accounting Research (IJEBAR), 5(2), 296–303.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651–1679. https://doi.org/10.1016/S0378-4266(99)00096-5
Chiang, T. C., Tan, L., Li, J., & Nelling, E. (2013). Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications. Multinational Finance Journal, 17(3/4), 165–200. https://doi.org/10.17578/17-3/4-3
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
Dinia, Z., & Firnanti, F. (2021). Stock Market Returns Dan Faktor Yang Mempengaruhi. E-Jurnal Akuntansi TSM, 1(1), 33–42. http://jurnaltsm.id/index.php/EJATSM/article/view/969
Dirgantara, H. (2022). Investor Pasar Modal Tembus 7,49 Juta di Akhir 2021. Kontan.Co.Id. https://investasi.kontan.co.id/news/investor-pasar-modal-tembus-749-juta-di-akhir-2021
Fauziah, H. I., & Rusmita, S. A. (2020). Analisis Deskriptif Herding Pada Jakarta Islamic Index. Jurnal Ekonomi Syariah Teori Dan Terapan, 7(3), 576. https://doi.org/10.20473/vol7iss20203pp576-584
Gumanti, T., & Utami, E. (2002). Bentuk Pasar Efisiensi Dan Pengujiannya. Jurnal Akuntansi Dan Keuangan, 4, 54–68.
Gunawan, Wijayanto, H., Achsani, N. A., & Rahman, L. O. 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.
Ichev, R., & Marin, M. (2018). Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID- 19 . The COVID-19 resource centre is hosted on Elsevier Connect , the company ’ s public news and information. International Review of Financial Analysis, 56(January), 153–166.
Ismiyanti, F., Mahadwartha, P. A., & Novita, S. (2021). Does Herd Behavior Make the Market More Efficient? Journal of Hunan University (Natural Sciences）, 48(9), 1–13.
Jauzaa, A., Khayati, A., & Giovanni, A. (2022). Perilaku Herding pada Jakarta Islamic Index (JII). Jurnal Pasar Modal Dan Bisnis, 4(1), 81–92. https://doi.org/10.37194/JPMB.V4I1.117
Khalisa, A., Karismasari, C. K., Ikhsan, H. H., & Saraswati, N. (2020). Pengaruh Behavioral FactorsTerhadap Pengambilan Keputusan Investasi Finansial Individu. Indonesian Business Review, 3(1), 15–35. https://doi.org/10.21632/ibr.3.1.15-35
Lin, W. T., Tsa, S.-C., & Lung, P.-Y. (2013). Investors’ Herd Behavior: Rational orIrrational? Asia-Pacific Journal of Financial Studies, 42, 755–776.
Liu, S., Gao, L., Latif, K., Dar, A. A., Zia-UR-Rehman, M., & Baig, S. A. (2021). The Behavioral Role of Digital Economy Adaptation in Sustainable Financial Literacy and Financial Inclusion. Frontiers in Psychology, 12(November), 1–11. https://doi.org/10.3389/fpsyg.2021.742118
Luong, L. P., & Ha, D. T. T. (2011). Behavioral Factors Influencing Individual Investors’ Decision-Making and Performance. UMEA Universitet.
Narasanto, I. T., & Tandelilin, E. (2012). Herding Behavior An Experience in Indonesian Stock Market [Universitas Gadjah Mada]. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=55899
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.
ÖZSU, H. H. (2015). Empirical Analysis of Herd Behavior in Borsa Istanbul. International Journal of Economic Sciences, IV(4), 27–52. https://doi.org/10.20472/es.2015.4.4.003
Park, B.-J., & Kim, M.-J. (2017). A Dynamic Measure of Intentional Herd Behavior in Financial Markets. In Munich Personal RePEc Archive (Issue 82025).
Polakitan, C. D. (2015). Analisis Komparasi Resiko Saham Yang Terdaftar pada Index LQ-45 dan Non LQ-45. Jurnal Riset Bisnis Dan Manajemen, 3, 61–72.
Pranyoto, E., Bisnis, E., Informatika, I., Alam, J. Z. A. P., Ratu, N. L., & Lampung, B. (2020). Herding Behavior, Experienced Regret Dan Keputusan Investasi Pada Bitcoin. Jurnal Bisnis Darmajaya, 6(1), 29–43.
Rahayu, A. D., Putra, A., Oktaverina, C., & Ningtyas, R. A. (2019). Perilaku Herding Di Pasar Saham: Sebuah Kajian Literatur. Journal of Business Management Education (JBME), 4(3), 67–80. https://doi.org/10.17509/jbme.v4i3.22091
Rahayu, S., Rohman, A., & Harto, P. (2021). Herding Behavior Model in Investment Decision on Emerging Markets: Experimental in Indonesia. Journal of Asian Finance, Economics and Business, 8(1), 053–059. https://doi.org/10.13106/jafeb.2021.vol8.no1.053
Rahayu, S., Rohman, A., Harto, P., Utomo, M. N., & Safitri, J. (2020). Supply Chain Herding Behavior Management in Investment Decision among Investors at Indonesia Stock Exchange: Experimental Study on the Social Effect of Established Investors and the Informative Effect of Information Regarding Earning Per Share Value. International Journal of Supply Chain Management, 9(6), 200–208.
Rahman, R. E., & Ermawati. (2019). Analisis Herding Behavior di Pasar Saham : Studi Kasus ASEAN-5 + US.
Ramadan, I. Z. (2015). Cross-Sectional Absolute Deviation Approach for Testing the Herd Behavior Theory: The Case of the ASE Index. International Journal of Economics and Finance, 7(3), 188–193. https://doi.org/10.5539/ijef.v7n3p188
Ravanola, V. V. (2017). Deteksi dan identifikasi pembentuk perilaku herding pada indeks harga saham gabungan (ihsg) periode 2008 dan 2016. Jurnal Ilmiah Mahasiswa FEB, 5(2), 1–20.
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
Shusha, A. A., & Touny, M. A. (2016). The Attitudinal Determinants of Adopting the Herd Behavior: An Applied Study on the Egyptian Exchange. Journal of Finance and Investment Analysis, 5(1), 55–69.
Sihombing, N., Sadalia, I., & Wibowo, R. P. (2021). Analysis of Herding Behavior of Investors in the Banking Industry in Indonesian Stock Market for February-June 2020 Period. International Journal of Research and Review, 8(3), 2–9.
Szyszka, A. (2013). Behavioral finance and capital markets: How psychology influences investors and corporations. In Behavioral Finance and Capital Markets: How Psychology Influences Investors and Corporations. https://doi.org/10.1057/9781137366290
Wardani, S. S. (2021). Analisis Perilaku Herding Pada Saham Lq- Indonesia. Jurnal Ilmiah FEB, 9(2), 3–22.
Wareza, M. (2019). Hari Terakhir Bursa 2019, Investor Pasar Modal Capai 2,4 Juta. Cnbcindonesia.Com. https://www.cnbcindonesia.com/market/20191230142312-17-126472/hari-terakhir-bursa-2019-investor-pasar-modal-capai-24-juta
Wibowo, B. (2019). Idiosyncratic Volatility and Herd Behavior: Indonesia Stock Market Case. Jurnal Bisnis Dan Manajemen, 20(1), 49–58. https://doi.org/10.24198/jbm.v20i1.275
Widyastuti, A. (2012). Behavioural Finance dalam Proses Pengambilan Keputusan. In Lmfe Unpad.
Wijaya, L. I., & Zunairoh. (2021). Factor Analysis of Investor Behavior in Indonesian Stock Exchange during COVID-19 Pandemic. Journal of Hunan University, 48(8), 243–254.
Yousaf, I., Ali, S., & Shah, S. Z. A. (2018). Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market. In Financial Innovation (Vol. 4, Issue 1). https://doi.org/10.1186/s40854-018-0098-9
Yuningsih. (2020). Perilaku Keuangan dalam Berinvestasi (Laboratorium Experiment dan Field Eksperiment) (Pertama). Indomedia Pustaka.
Published
2022-03-26
How to Cite
SIMANJUNTAK, Elvira Maytasya; DEWI, Vera Intanie.
Analisis Perilaku Herding pada Indeks Sri-Kehati saat Kondisi Pandemi COVID-19.
E-Jurnal Akuntansi, [S.l.], v. 32, n. 3, p. 762-776, mar. 2022.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/84008>. Date accessed: 14 nov. 2024.
doi: https://doi.org/10.24843/EJA.2022.v32.i03.p16.
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