Authors :
Ananda Anggara S; Matrodji H. Mustafa
Volume/Issue :
Volume 5 - 2020, Issue 8 - August
Google Scholar :
http://bitly.ws/9nMw
Scribd :
https://bit.ly/32vcWnL
DOI :
10.38124/IJISRT20AUG253
Abstract :
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.
Keywords :
behavioral finance, herding behavior, CSAD, return, quantile regression.
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.
Keywords :
behavioral finance, herding behavior, CSAD, return, quantile regression.
