Herding Behavior and The Impact of Global Stock Market
Classical finance assumes that investors in stock market are rational and will efficiently respond to new information of stock market. However, empirical studies reveal that market is not efficient as explained by efficient market hypothesis of classical finance theories. Therefore, in order to over...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/118237/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=58181 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | Classical finance assumes that investors in stock market are rational and
will efficiently respond to new information of stock market. However, empirical
studies reveal that market is not efficient as explained by efficient market
hypothesis of classical finance theories. Therefore, in order to overcome those
lackness of classical finance approach, behavioral finance was established. In this
study, behavioral finance approach is used to examine herding existence in
Indonesia and the impact of Global Stock Market toward herding in Indonesia.
This research aims are to investigate the existence of herding behavior in
Indonesia Stock Market (IDX), to investigate the existence of herding behavior in
Global Stock Market, and to investigate the impact of Global Stock Market
toward herding in Indonesia. The periods of research are six years, from 2006
until 2011. In this research, the samples are divided into three groups, LQ-45, Non
LQ-45, and Global Stock Market. Total samples for LQ-45 are 14 stocks while
Non LQ-45 counts for 82 samples. Samples for Global Stock Market also counts
for 14 stocks. In order to investigate the presence of herding behavior, researcher
use CSAD (Cross Sectional Absolute Deviations) method.
The research result stated that herding behavior does exist in LQ-45 and
Non LQ-45 at market stress condition. In line with herding occurrence in
Indonesia, herding behavior does exist in Global Stock Market, especially in
market stress condition. Moreover, there is significant effect between herding
occurrence in Global Stock Market toward herding occurrence in Indonesia. |
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