Analysis of Herding Behavior in the Indonesian Capital Stock Market
- DOI
- 10.2991/agc-18.2019.59How to use a DOI?
- Keywords
- Herding behavior, VAR, Behavioral finance
- Abstract
Irrational financial behavior that is often found in financial markets is herding behavior. If market participants do herding, it will affect changes in stock prices and certainly will have implications for asset returns and risks owned. This study aims to determine grazing behavior based on the type of investor in the capital market. Indonesia during the period 2013-2016, to measure the extent to which the effects of grazing behavior were based on the type of investment and to examine how grazing behavior relationships between types of investors. This study uses the Vector Auto Regression (VAR) method, the research data is investor ownership of the LQ-45 index in the 2013-2106 period. The LQ-45 index is used because they have a high stock capitalization, high frequency of trading and high liquidity. Three methods in VAR analysis are used to answer research problems, VAR analysis, Impulse Respond Function (IRF), and Granger Causality. The results show that the impact of herding behavior is significantly influenced by investors of the same type, the response occurs to the average price fluctuations in the initial period. The impact of investor behavior that is only responded by investors of the same type shows that there is a pattern of causality between types of investors.
- Copyright
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ica Rika Candraningrat PY - 2019/01 DA - 2019/01 TI - Analysis of Herding Behavior in the Indonesian Capital Stock Market BT - Proceedings of the 1st Aceh Global Conference (AGC 2018) PB - Atlantis Press SP - 374 EP - 381 SN - 2352-5398 UR - https://doi.org/10.2991/agc-18.2019.59 DO - 10.2991/agc-18.2019.59 ID - Candraningrat2019/01 ER -