HERDING BEHAVIOR ANALYSIS: A CASE IN INDONESIAN STOCK MARKET
Abstract
This research discusses herding behavior in the Indonesian Stock Exchange using the Kompas 100 Indes. Our study uses the Cross Section Absolute Deviation (CSAD) method to analyze herding behavior in three market conditions: index, bearish, and bullish. Our statistical test results show herding behavior in bearish market conditions (down), no herding behavior in the 2023-2024 market period, and bullish market conditions (up). This study shows that investors have a lot of information and use it well in analyzing the market before making investment decisions. This study's results can help understand investor behavior and reduce investment risk.
References
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Uddin, S., Gul, F., & Mubarik, F. (2021). Anchoring and Stock Market Reactions: Evidence from Pakistani Stock Exchange. JOURNAL OF BUSINESS & ECONOMICS, 13(1), 148–168. https://doi.org/10.5311/JBE.2021.26.6
Wiryaningtyas, D. P. (2016). Behavioral finance dalam pengambilan keputusan. UNEJ e-Proceeding, 339-344.
Zahera, S. A., & Bansal, R. (2018). Do investors exhibit behavioral biases in investment decision making? A systematic review. In Qualitative Research in Financial Markets (Vol. 10, Issue 2, pp. 210–251). Emerald Group Publishing Ltd. https://doi.org/10.1108/QRFM-04-2017-0028
Zen, E. L. (2022). Hipotesis pasar efisien: tinjauan pustaka sistematik. Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan, 4(Spesial Issue 5), 2278-2282.
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, 1651–1679. www.elsevier.com/locate/econbase
Çömlekçi, İ., Özer, A. (2018). Behavioral Finance Models, Anomalies, and Factors Affecting Investor Psychology. In: Dincer, H., Hacioglu, Ü., Yüksel, S. (eds) Global Approaches in Financial Economics, Banking, and Finance. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-78494-6_15
Dewi, D. P. (2023). Analisis Herding Behavior di Bursa Efek Indonesia pada Tahun 2020. E-Jurnal Akuntansi, 33(1), 258. https://doi.org/10.24843/eja.2023.v33.i01.p19
Djalil, M. A., & Laily, R. (2018). TESTING FOR HERDING BEHAVIOR OF AFTERMARKET OF IPO (INITIAL PUBLIC OFFERING) IN INDONESIA STOCK EXCHANGE. In Research Journal of Finance and Accounting www.iiste.org ISSN (Vol. 9, Issue 12). Online. www.iiste.org
Fama, E. F. (1970). American Finance Association Efficient Capital Markets: A Review of Theory and Empirical Work. In Source: The Journal of Finance (Vol. 25, Issue 2).
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. https://doi.org/10.1016/j.frl.2020.101813
Luo, Z., & Schinckus, C. (2015). Herding behaviour in asymmetric and extreme situations: the case of China. Applied Economics Letters, 22(11), 869–873. https://doi.org/10.1080/13504851.2014.985363
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), 264–272. www.investing.com.
Mumtazah, M. R., & Anwar, M. (2022). Analisis pengaruh herding behavior dalam memoderasi keputusan investasi saham pada Mahasiswa UPN Veteran Jawa Timur. Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan, 5(1), 115-123.
Noviliya, H. S., & Prasetiono. (2017). ANALISIS PENDETEKSIAN HERDING BEHAVIOUR PADA BURSA SAHAM EMERGING DAN DEVELOPED MARKET ASIA (Negara. Dipenogoro Journal Of Management, 6, 1–11. http://ejournal-s1.undip.ac.id/index.php/dbr
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
Putra, A. A., Rizkianto, E., & Chalid, A. (2017). The Analysis of Herding Behavior in Indonesia and Singapore Stock Market.
Ravanola, V. V. (2017). Deteksi dan Identifikasi Pembentuk Perilaku Herding Pada Indeks Harga Saham Gabungan Periode 2008 dan 2016. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 5(2).
Sharma, A., & Kumar, A. (2020). A review paper on behavioral finance: study of emerging trends. In Qualitative Research in Financial Markets (Vol. 12, Issue 2, pp. 137–157). Emerald Group Holdings Ltd. https://doi.org/10.1108/QRFM-06-2017-0050
Tlili, F., Chaffai, M., & Medhioub, I. (2023). Investor behavior and psychological effects: herding and anchoring biases in the MENA region. China Finance Review International, 13(4), 667–681. https://doi.org/10.1108/CFRI-12-2022-0269
Uddin, S., Gul, F., & Mubarik, F. (2021). Anchoring and Stock Market Reactions: Evidence from Pakistani Stock Exchange. JOURNAL OF BUSINESS & ECONOMICS, 13(1), 148–168. https://doi.org/10.5311/JBE.2021.26.6
Wiryaningtyas, D. P. (2016). Behavioral finance dalam pengambilan keputusan. UNEJ e-Proceeding, 339-344.
Zahera, S. A., & Bansal, R. (2018). Do investors exhibit behavioral biases in investment decision making? A systematic review. In Qualitative Research in Financial Markets (Vol. 10, Issue 2, pp. 210–251). Emerald Group Publishing Ltd. https://doi.org/10.1108/QRFM-04-2017-0028
Zen, E. L. (2022). Hipotesis pasar efisien: tinjauan pustaka sistematik. Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan, 4(Spesial Issue 5), 2278-2282.
Published
2024-10-05
How to Cite
ALFARISI, Aditya Salman et al.
HERDING BEHAVIOR ANALYSIS: A CASE IN INDONESIAN STOCK MARKET.
Proceedings of the International Conference of Islamic Economics and Business (ICONIES), [S.l.], v. 10, n. 1, p. 17-30, oct. 2024.
ISSN 2541-3333.
Available at: <https://conferences.uin-malang.ac.id/index.php/iconies/article/view/3071>. Date accessed: 14 may 2026.
Section
Articles
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
