An Examination of Herd Behavior in The Indonesian Stock Market

Purba, Adi Vithara; Faradynawati, Ida Ayu Agung

doi:10.21002/icmr.v4i1.985

Cited by 4 publications

(5 citation statements)

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“…This finding is identical to Chaffai and Medhioub (2018) who find evidence of herding behavior in Islamic GCC stock markets and some previous researchers who find evidence of herding behavior in emerging market. Jakarta Islamic Index consists of thirty most liquid Islamic stocks in Indonesia; this result is different from Purba and Faradynawati (2011) result that find no herding behavior in liquid or big size stocks.…”

Section: Discussioncontrasting

confidence: 95%

“…Chaffai and Medhioub (2018) find asymmetry herding in Islamic GCC stock markets during rising market condition only. Purba and Faradynawati (2011) using CSAD also find herding behavior in Indonesia composite stocks during normal market uptrend.…”

Section: Discussionmentioning

confidence: 79%

“…On the one hand, some studies discovered the presence of herding behavior in Indonesia stock market (Chiang & Zheng, 2010;Chiang et al 2013;Gunawan et al 2011;Putra et al 2017). On the other hand, herding behavior in Indonesia stock market has not been extensively analyzed (Purba & Faradynawati, 2011;Pangesti & Koesrindartoto, 2013;Ramadhan & Mahmud, 2016). Moreover, very little research has been done both in herding behavior in the Islamic stock market in Indonesia and Islamic markets in general, except for herding behavior in Islamic GCC stock market (Chaffai and Medhioub, 2018).…”

Section: Objectivesmentioning

confidence: 99%

“…The studies in Indonesia conducted by Purba and Faradynawati (2011) examined herding behavior in Indonesia during the financial crisis of 2008 and aftermath using CSSD and CSAD. The results fit with Chang et al (2000) that suggest conflicting results between CSSD and CSAD.…”

Section: Previous Studiesmentioning

confidence: 99%

“…Many studies on herding behavior include Chang et al (2000) and Chiang & Zheng (2010), who find evidence of herding behavior in emerging market and Chaffai & Medhioub (2018), who analyzed herding behavior in the Islamic stock market. In Indonesia, studies on herding behavior include Purba & Faradynawati (2011), Pangesti & Koesrindartoto (2013), Ramadhan & Mahfud (2016), Putra et al (2017). Zakie & Rafik (2017) explored herding behavior in Indonesia Islamic stock market using the record of buying and selling transaction of JII during 2011 -2016 and analyzed using LSV methods and standard t-test.…”

Section: Introduction 11 Backgroundmentioning

confidence: 99%

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Herding Behavior in the Indonesian Islamic Stock Market

Rizal

Damayanti

2019

JIMF

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Indonesia Stock Exchange provides Islamic stocks for Muslim investors who want toinvest, with the first Islamic stock index in Indonesia being Jakarta Islamic Index or JIIthat consists of thirty of the most liquid Islamic stocks. The market capitalization of JIItends to increase every year. This paper examines the presence of herding behavior inemerging Islamic stock market of Indonesia using daily return of Indonesia CompositeIndex and JII from October 6, 2000 to October 5, 2018. Herding behavior could generallytrigger shifting market prices from equilibrium values. Herding behavior may beidentified from the relation between stock return dispersion and market return. Stockreturn dispersion is measured using Cross Sectional Absolute Deviation or CSAD.Generalized Auto Regressive Conditional Heteroskedasticity or GARCH method isused to detect herding behavior. GARCH does not see heteroskedasticity as a problem,instead uses it to make a model. The result indicates that herding behavior exist inIslamic stock market of Indonesia. Asymmetric herding occurs in Indonesia Islamicstock market where herding behavior exists during falling market condition only.

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Section: Discussioncontrasting

confidence: 95%

Section: Discussionmentioning

confidence: 79%