ADAKAH PERILAKU HERDING PADA KONDISI BEARISH DAN BULLISH PADA PASAR SAHAM INDONESIA ?
Mukti Trio Putra; Fitri Santi
Universitas Bengkulu
Abstract
This research aims to detect the indication of herding behavior in Indonesian Stock Market during bearish and bullish market conditions. We use Cross-Sectional Absolute Deviation (CSAD) regression method to detect the indication of herding behavior, where the dependent variable is absolute deviation of market return and the independent variables are absolute market return and squared market return. We also use quantille regression to detect herding behavior during bullish and bearish market conditions. We use daily return data of 34 firms included in LQ-45 Index during the period of 2 January 2015 – 29 December 2017. Our regression research show that no herding behavior in our sample data and no herding behavior during both bearish and bullish market conditions.
Keywords: herding behavior, Cross-Sectional Absolute Deviation (CSAD), bearish market , bullish market.
Topic: Manajemen Keuangan