Analisis Herding Behavior di Bursa Efek Indonesia pada Tahun 2020
Abstract
The aim of this study is to analyze herding behavior in the Indonesian capital market as an emerging market which has experienced high JCI volatility throughout 2020. The analysis of herding behavior takes place in three market periods: (a) throughout the 2020 period with 242 observation dates (233 after the outliers were removed), (b) ) bearish (down) conditions with 59 observation dates (51 after the outliers were removed), and (c) bullish (rising) conditions with 183 observation dates. The sample consisted of 36 companies taken from members of the LQ-45 index for the periods August 2019-January 2020, February 2020-July 2020, and August 2020-January 2021. Herding behavior was identified through regression analysis and the Cross-Sectional Absolute Deviation (CSAD) method. The results of the study did not show any herding behavior during the observation period, which means that investors make investment decisions by considering the available information.
Keywords: Herding; Cross Sectional Absolute Deviation.
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References
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Arisanti, I., & Asri, M. (2018). Herding Behavior Post Initial Public Offering In Indonesia Stock Exchange. Journal of Accounting and Investment, 19(2).
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Rizal, N. A., & Damayanti, M. K. (2019). Herding Behavior in the Indonesian Islamic Stock Market. Journal of Islamic Monetary Economics and Finance, 5(3), pp. 673–690.
Wardani, S. S. (2021). Analisis Perilaku Herding pada Saham LQ-45 Sebelum dan Selama Pandemi COVID-19 di Indonesia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 9(2).
Woo, K. Y., Mai, C., McAleer, M., & Wong, W.-K. (2020). Review on Efficiency and Anomalies in Stock Markets Kai-Yin. Economies, 8(1), pp. 1–51.
Ye, J., Li, D., & Cao, Y. (2020). Investor Irrational Selection Bias in Stock Market Based on Cognitive Psychology: Evidence from Herding Behaviour. Revista Argentina de Clinica Psicologica, 29(1), pp. 90–98.
Arisanti, I., & Asri, M. (2018). Herding Behavior Post Initial Public Offering In Indonesia Stock Exchange. Journal of Accounting and Investment, 19(2).
Baker, H. K., Filbeck, G., & Ricciardi, V. (2017). Financial Behavior: Players, Services, Products, and Markets. New York: Oxford University Press.
Batmunkh, M. U., Choijil, E., Vieito, J. P., Espinosa-Méndez, C., & Wong, W. K. (2020). Does herding behavior exist in the Mongolian stock market? Pacific Basin Finance Journal, 62, 101352.
Candraningrat, I. R. (2018). Analysis of Herding Behavior in the Indonesian Capital Stock Market. Advances in Social Science, Education and Humanities Research, 292(2012), pp. 374–381.
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), pp. 1651–1679.
Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 51(4), pp. 31–37.
Espinosa-Méndez, C., & Arias, J. (2021). COVID-19 Effect on Herding Behaviour in European Capital Markets. Finance Research Letters, 38(101787).
Fama, E. F. (1970). Efficient Capital Markets: A Review Of Theory And Empirical Work. The Journal of Finance, 25(2), pp. 383–417.
Fransiska, M., Sumani, S., Willy, W., & Pangestu, S. (2018). Herding Behavior in Indonesian Investors. International Research Journal of Business Studies, 11(2), pp. 129–143.
Goetzmann, W. N. (2016). Money Changes Everything: How Finance Made Civilization Possible. New Jersey: Princeton University Press.
Halisa, N. N., & Annisa, S. (2020). Pengaruh Covid-19 terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG). Jurnal Manajemen dan Organisasi, 11(3), hal. 170–178.
Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), pp. 585–616.
Indārs, E. R., Savin, A., & Lublóy, Á. (2019). Herding behaviour in an emerging market: Evidence from the Moscow Exchange. Emerging Markets Review, 38, pp. 468–487.
Ismiyanti, F., Mahadwartha, P. A., Zunairoh, & Novita, S. (2021). Does Herd Behavior Make the Market More Efficient? Journal of Hunan University (Natural Sciences）, 48(9), pp. 1–13.
Kumar, A., Badhani, K. N., Bouri, E., & Saeed, T. (2021). Herding Behavior in the Commodity Markets of the Asia-Pacific Region. Finance Research Letters, 41(July), 101813.
Koputra, T., & Mahadwartha, P. A. (2021). Herding Behavior Detection: Bullish and Bearish Cases. Advances in Economics, Business and Management Research, 180, pp. 11–15.
Liu, X., Liu, B., & Han, X. (2019). Analysis of Herd Effect of Investor’s Behavior from the Perspective of Behavioral Finance. Advances in Economics, Business and Management Research, 82, pp. 559–563.
Luu, Q. T., & Luong, H. T. T. (2020). Herding Behavior in Emerging and Frontier Stock Markets During Pandemic Influenza Panics. Journal of Asian Finance, Economics and Business, 7(9), pp. 147–158.
Marbun, L., Haryetti, & Fathoni, A. F. (2020). Is Herding Behaviour Really Exist? An Empirical Study On The LQ-45 And Jakarta Islamic Index. South East Asia Journal of Contemporary Business, Economics and Law, 21(5), pp. 264–272.
Muharam, H., Dharmawan, A., Najmudin, N., & Robiyanto, R. (2021). Herding Behavior: Evidence from Southeast Asian Stock Markets. International Symposia in Economic Theory and Econometrics, 28, pp. 207–220.
Nasution, D. A. D., Erlina, & Muda, I. (2020). Dampak Pandemi COVID-19 terhadap Perekonomian Dunia. Jurnal Ekonomi Perjuangan, 2(2), hal. 212–224.
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), hal. 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), hal. 408–418.
Rahayu, A. D., Putra, A., Oktaverina, C., & Ningtyas, R. A. (2020). Perilaku Herding Di Pasar Saham: Sebuah Kajian Literatur. Journal of Business Management Education (JBME), 4(3), hal. 67–80.
Ramli, R. R. (2020). Ini 3 Faktor Penyebab IHSG Terus Merosot Menurut OJK. Money.kompas.com. Diakses pada 23 Maret 2022, dari https://money.kompas.com/read/2020/03/12/194300726/ini-3-faktor-penyebab-ihsg-terus-merosot-menurut-ojk
Ravanola, V. V. (2017). Deteksi dan Identifikasi Pembentuk Perilaku Herding pada Indeks Harga Saham Gabungan (IHSG) Periode 2008 dan 2016. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 5(2).
Rizal, N. A., & Damayanti, M. K. (2019). Herding Behavior in the Indonesian Islamic Stock Market. Journal of Islamic Monetary Economics and Finance, 5(3), pp. 673–690.
Wardani, S. S. (2021). Analisis Perilaku Herding pada Saham LQ-45 Sebelum dan Selama Pandemi COVID-19 di Indonesia. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 9(2).
Woo, K. Y., Mai, C., McAleer, M., & Wong, W.-K. (2020). Review on Efficiency and Anomalies in Stock Markets Kai-Yin. Economies, 8(1), pp. 1–51.
Ye, J., Li, D., & Cao, Y. (2020). Investor Irrational Selection Bias in Stock Market Based on Cognitive Psychology: Evidence from Herding Behaviour. Revista Argentina de Clinica Psicologica, 29(1), pp. 90–98.
Published
2023-01-26
How to Cite
DEWI, Dinda Prasetia.
Analisis Herding Behavior di Bursa Efek Indonesia pada Tahun 2020.
E-Jurnal Akuntansi, [S.l.], v. 33, n. 1, p. 258-269, jan. 2023.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/85844>. Date accessed: 29 apr. 2024.
doi: https://doi.org/10.24843/EJA.2023.v33.i01.p19.
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