Open AccessDoes Herding Behavior Exist in the IDX Sectoral Indices
Author(s) -
Ananda Anggara S,
Matrodji H. Mustafa
Publication year - 2020
Publication title -
international journal of innovative science and research technology
Language(s) - English
Resource type - Journals
ISSN - 2456-2165
DOI - 10.38124/ijisrt20aug253
Subject(s) - herding , herd behavior , stock exchange , stock market , economics , econometrics , dispersion (optics) , financial economics , business , monetary economics , geography , finance , context (archaeology) , physics , archaeology , optics , forestry
This study aims to detect herding behavior based on cross-sectional dispersion in certain market conditions using CSAD method as proposed by Chiang, Li, & Tan (2010). CSAD method allows researchers to evaluate if there is a herding behavior in the capital market. This research uses 9 (nine) sectoral indices listed on the Indonesia Stock Exchange (IDX) in the 2013-2019 period. This study examines the hypothesis that herding behavior occurs in the sectoral indices of the Indonesia stock market in upward market conditions and downward market conditions. The results showed that herding behavior occurred in all of the sectoral indices in downward market condition, but herding behavior was not indicated at all in upward market condition.