Comparative Analysis of Herding Behavior in Indonesia, Malaysia, and Singapore.

Abstract

Herding Behavior is an investor bias that affects stock market price. Stock market is one of the factors that can influence economic condition in a country. This research examine the phenomenon of herding behavior in Indonesia, Malaysia, and Singapore from 2016 to 2019. This research used secondary data, stocks return and market return, and transformed it into Cross Sectional Absolute Deviation (CSAD) to test the dispersion level of stock return to find herding behavior indication using quantile regression. This research also comparing herding behavior between Indonesia and other two countries using independent sample t test. Result showed that in all countries there were no indication of herding behavior in all kind of market condition. This research also found the difference of herding behavior between Indonesia and other countries.

Analysis of Aggregate Herding Behavior in the Capital Market: Evidence from Indonesia and Singapore

“…Because their investment decisions appear to be based on clear analysis and information, they do not engage in stock transactions like herding investors. Empirical findings in Indonesia are consistent with research (Ramadhansyah et al, 2020;Ah Mand et al, 2021).…”

“…Arjoon et al (2020) did research on the Singapore capital market and discovered herding at both the market and portfolio level. Other studies have found no evidence of herd behavior in Indonesia, Malaysia, or Singapore (Ramadhansyah et al, 2020;Ah Mand et al, 2021). Pointing to this elucidation, the initial hypothesis construct is: H1: There is herding behavior in the Indonesian and Singapore aggregate capital markets…”

“…A number of researchers have proven that herding behavior take place in ASEAN capital markets (Singapore, Indonesia, Malaysia, the Philippines, Thailand, Vietnam), especially when the market is under stress (Liu, 2013;Bui, Nguyen and Nguyen, 2015;Noviliya & Prasetiono, 2017;Kabir and Shakur, 2018;Rahman & Ermawati, 2019;Jirasakuldech & Emekter, 2020;Muharam, et al, 2021). Other research in ASEAN countries found no evidence of herd behavior (Kabir & Shakur, 2018;Ramadhansyah, 2020;Nimanussornkul & Nimanussornkul, 2021;Muharam et al, 2021;Ah Mand et al, 2021). Several researches also discovered herding behavior in the ASEAN capital market during the COVID-19 outbreak, although the number of studies is still limited.…”