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Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange

Gadjah Mada International Journal of Business

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Field Value
 
Title Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange
 
Creator Setiyono, Setiyono
Tandelilin, Eduardus
Hartono, Jogiyanto
Hanafi, Mamduh M.
 
Subject Finance
destabilize; herd behavior; stock market price
 
Description This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions ina certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.
 
Publisher Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
 
Date 2013-03-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://jurnal.ugm.ac.id/gamaijb/article/view/5399
10.22146/gamaijb.5399
 
Source Gadjah Mada International Journal of Business; Vol 15, No 1 (2013): January - April; 27 - 44
2338-7238
1411-1128
 
Language eng
 
Relation https://jurnal.ugm.ac.id/gamaijb/article/view/5399/4395