Proceedings of the 1st Aceh Global Conference (AGC 2018)

Analysis of Herding Behavior in the Indonesian Capital Stock Market

Authors
Ica Rika Candraningrat
Corresponding Author
Ica Rika Candraningrat
Available Online January 2019.
DOI
https://doi.org/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.
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This is an open access article distributed under the CC BY-NC license.

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Volume Title
Proceedings of the 1st Aceh Global Conference (AGC 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
January 2019
ISBN
978-94-6252-644-0
ISSN
2352-5398
DOI
https://doi.org/10.2991/agc-18.2019.59How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

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  - https://doi.org/10.2991/agc-18.2019.59
ID  - Candraningrat2019/01
ER  -