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An Examination of Herd Behavior in The Indonesian Stock Market

Indonesian Capital Market Review

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Title An Examination of Herd Behavior in The Indonesian Stock Market
 
Creator Adi Vithara Purba; GMT Asset Management
Ida Ayu Agung Faradynawati; Birmingham Business School
 
Description We examine herd behavior in Indonesian Stock Exchange, using daily and weekly stocks returnfrom 2007 until 2010. We employ the cross sectional standard deviation of returns (CSSD) methodologydeveloped by Christie and Huang (1995) and cross sectional absolute dispersion (CSAD) methodologydeveloped by Chang et al. (2000) to detect the presence of herd behavior. Using daily andweekly CSSD, we document the nonexistence of herding behavior in Indonesian stock market. However,using CSAD of either data frequency the result demonstrates the presence of herding behavior,particularly on big capitalization and liquid stocks. The result differs from Chang et al. (2000) whofind no different impact of herding behavior across size-based portfolios.
 
Publisher Management Research Center, Department of Management, Faculty of Economics and Business, U
 
Contributor —
 
Date 2012-01-03
 
Type Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journal.ui.ac.id/index.php/icmr/article/view/985
 
Source Indonesian Capital Market Review; ##issue.vol## 4, ##issue.no## 1 (2012): January 2012
 
Language en