scholarly journals HERDING BEHAVIOR IN THE INDONESIAN ISLAMIC STOCK MARKET

2019 ◽  
Vol 5 (3) ◽  
pp. 673-690 ◽  
Author(s):  
Nora Amelda Rizal ◽  
Mirta Kartika Damayanti
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Stock Exchange ◽  
Stock Index ◽  
Market Condition ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Market Prices ◽  
Auto Regressive

Indonesia Stock Exchange provides Islamic stocks for Muslim investors who want toinvest, with the first Islamic stock index in Indonesia being Jakarta Islamic Index or JIIthat consists of thirty of the most liquid Islamic stocks. The market capitalization of JIItends to increase every year. This paper examines the presence of herding behavior inemerging Islamic stock market of Indonesia using daily return of Indonesia CompositeIndex and JII from October 6, 2000 to October 5, 2018. Herding behavior could generallytrigger shifting market prices from equilibrium values. Herding behavior may beidentified from the relation between stock return dispersion and market return. Stockreturn dispersion is measured using Cross Sectional Absolute Deviation or CSAD.Generalized Auto Regressive Conditional Heteroskedasticity or GARCH method isused to detect herding behavior. GARCH does not see heteroskedasticity as a problem,instead uses it to make a model. The result indicates that herding behavior exist inIslamic stock market of Indonesia. Asymmetric herding occurs in Indonesia Islamicstock market where herding behavior exists during falling market condition only.

scholarly journals Does Herding Behavior Exist in the IDX Sectoral Indices

2020 ◽  
Vol 5 (8) ◽  
pp. 642-648
Author(s):  
Ananda Anggara S ◽  
Matrodji H. Mustafa
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Condition ◽  
Herding Behavior ◽  
Market Conditions ◽  
Cross Sectional ◽  
Behavior Based ◽  
The Capital Market

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.

scholarly journals Detection of structural regimes and analyzing the impact of crude oil market on Canadian stock market: Markov regime-switching approach

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohammadreza Mahmoudi ◽  
Hana Ghaneei
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Return ◽  
Stock Exchange ◽  
Markov Switching ◽  
Stock Index ◽  
Var Model ◽  
Content Type ◽  
Oil Market ◽  
The Impact

Purpose This study aims to analyze the impact of the crude oil market on the Toronto Stock Exchange Index (TSX). Design/methodology/approach The focus is on detecting nonlinear relationship based on monthly data from 1970 to 2021 using Markov-switching vector auto regression (VAR) model. Findings The results indicate that TSX return contains two regimes: positive return (Regime 1), when growth rate of stock index is positive; and negative return (Regime 2), when growth rate of stock index is negative. Moreover, Regime 1 is more volatile than Regime 2. The findings also show the crude oil market has a negative effect on the stock market in Regime 1, while it has a positive effect on the stock market in Regime 2. In addition, the authors can see this effect in Regime 1 more significantly in comparison to Regime 2. Furthermore, two-period lag of oil price decreases stock return in Regime 1, while it increases stock return in Regime 2. Originality/value This study aims to address the effect of oil market fluctuation on TSX index using Markov-switching approach and capture the nonlinearities between them. To the best of the author’s knowledge, this is the first study to assess the effect of the oil market on TSX in different regimes using Markov-switching VAR model. Because Canada is the sixth-largest producer and exporter of oil in the world as well as the TSX as the Canada’s main stock exchange is the tenth-largest stock exchange in the world by market capitalization, this paper’s framework to analyze a nonlinear relationship between oil market and the stock market of Canada helps stock market players like policymakers, institutional investors and private investors to get a better understanding of the real world.

scholarly journals Investor Sentiment and Herding Behavior in the Korean Stock Market

2020 ◽  
Vol 8 (2) ◽  
pp. 34
Author(s):  
Ki-Hong Choi ◽  
Seong-Min Yoon
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Markets ◽  
Trading Volume ◽  
Investor Sentiment ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Korean Stock Market ◽  
Quantile Regression Method

This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results are outlined as follows. First, we find that herding behavior is exhibited during down-market periods in the KOSPI and KOSDAQ stock markets. However, we show that adverse herding behavior occurs in low-trading volume and low-volatility periods. Second, according to the results of the quantile regression, herding behavior is found in the low and high quantiles of the KOSPI and KOSDAQ stock markets. However, adverse herding behavior is also found, which means that investors herd in extreme market conditions. Third, the relationship between investor sentiment and herding behavior is analyzed through regression and quantile regression, and investor sentiment is confirmed to be one of the important factors that can cause herding behavior in the Korean stock market.

Shifts in Herd Mentality of Investors in Uncertain Market Conditions: New Evidence in the Context of a Frontier Stock Market

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 203-219 ◽  
Author(s):  
Kalugala Vidanalage Aruna Shantha
Keyword(s):  
Stock Market ◽  
Learning Effect ◽  
Stock Exchange ◽  
Psychological Effects ◽  
Herd Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Post Market ◽  
And Behavior ◽  
New Evidence

This paper examines the herding phenomenon in the context of a frontier stock market, the Colombo Stock Exchange of Sri Lanka, employing the cross - sectional absolute deviation methodology to daily frequencies of data for the period from April, 2000 to September, 2016. The results show significant changes in magnitude and pattern of herding over different episodes of the market. The herd behavior is strongly presence irrespective of the direction of the market movement in the 2000 - 2008 period, during which investments in the stock market is affected by the country’s political instability resulting from the civil war. The evidence also shows herd behavior during the period of market bubble whereas negative herding in the market crash period. However, it becomes less likely to occur during the period after the market crash. The lower tendency to herd during the post- market crash period supports the Adaptive Market Hypothesis, implying that investors are likely to realize the irrationality of herding and learn to be more rational as a consequence of significant losses experienced during the period of the market crash. Accordingly, these findings suggest that period- specific characteristics of the market and the associated psychological effects to investors such as overconfidence and panics would cause changes to their beliefs and behavior, the experiences of which would subsequently produce learning effect to minimize their irrationality in decision making.

scholarly journals Investor Behavior: Does Tax Avoidance and Liquidity Preference Culture Drive Equity Prices in Pakistan

2020 ◽  
Vol 2 (2) ◽  
pp. 63-91
Author(s):  
Rubeena Tashfeen ◽  
Saad Ullah ◽  
Abubaker Naeem
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Tax Avoidance ◽  
Geographical Distance ◽  
Chinese Stock Market ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Cross Border ◽  
The Usa

The present study investigates market-wide herding of stock market, industry indices of Pakistan, China and USA, A-cross border herding of Pakistan stock market with Chinese stock market and USA stock market. With Cross-Sectional-Absolute-Deviation, to check whether geographical distance matters to influence the stock markets or not and USA is its major influential, cannot be ignored. Market-wide herding in Pakistan is found only during 2004 and 2008 and A-cross border herding for Pakistan is only found from the USA which support asset pricing model and market efficiency. Pakistan market do not herd around China, this negates geographical distance matters, and influence in determining investor behaviour in stock markets. It is revealed, Pakistan stock market does not observe as much herding behaviour in stock investment as other markets (USA and China), so it can be said that Pakistan stock exchange index which is representative of Pakistan Stock market is efficiently operating in contest of Herding.

scholarly journals Herding behavior and stock market conditions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdollah Ah Mand ◽  
Hawati Janor ◽  
Ruzita Abdul Rahim ◽  
Tamat Sarmidi
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Developed Countries ◽  
Herding Behavior ◽  
Market Conditions ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Content Type ◽  
Market Return

Purpose The purpose of this paper is to investigate whether market conditions have an effect on investors’ propensity to herd in an emerging economy’s stock market. Additionally, given the lack of research on Islamic behavioral finance, the authors further investigate if the herding phenomenon is distinct in Islamic versus conventional stocks. Design/methodology/approach The authors used daily data for the period of 1995–2016 according to the herding behavior model of Chang et al. (2000), which relies on cross-sectional absolute deviation of returns. Findings Findings reveal the herding behavior of investors among Shariah-compliant during up and down market exits with non-linear relationship to the market return, while for conventional stocks herding behavior does not exist with linear nor nonlinear relationships during the up and down market. Furthermore, for the whole market, herding behavior only exists during upmarket with a nonlinear relationship to the market return. However, this relationship is not significant. Moreover, the results of this study are robust with respect to the effect of the Asian and global financial crisis. Practical implications The findings are useful for investors to identify which market conditions are associated with rational and irrational behavior of investors. Originality/value Most of the theoretical and empirical studies on herding behavior have focused on developed countries. Only a few studies have paid attention to the herding behavior in Islamic financial markets, particularly in the context of an emerging market such as Malaysia. This study fills this void.

Herd behavior in the French stock market

2017 ◽  
Vol 16 (4) ◽  
pp. 497-515 ◽  
Author(s):  
Houda Litimi
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Design Methodology ◽  
Garch Model ◽  
Herd Behavior ◽  
Conditional Volatility ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Content Type

Purpose This paper aims to investigate the herding behavior in the French stock market and its effect on the idiosyncratic conditional volatility at a sectoral level. Design/methodology/approach This sample covers all the listed companies in the French stock market, classified by sector, over four major crisis periods. The author modifies the cross-sectional absolute deviation (CSAD) model to include trading volume and investors sentiment as herding triggers. Furthermore, the author uses a modified GARCH model to investigate the effect of herding on conditional volatility. Findings Herding is present in the French market during crises, and it is present in only some sectors during the entire period. The main trigger for investors to embark into a collective herding movement differs from one sector to another. Furthermore, herding behavior has an inhibiting effect on market conditional volatility. Originality/value The author modifies the CSAD model to investigate the presence of herding in the French stock market at a sectoral level during turmoil periods. Furthermore, the particularly designed GARCH model provides new insights on the effect of herding and volume turnover on the conditional volatility.

scholarly journals Analisis Perilaku Hearding Investor Pada Saham LQ-45 di Pasar Modal Indonesia

2018 ◽  
Vol 1 (2) ◽  
pp. 408-418
Author(s):  
Hafni Zubaedah Pasaribu ◽  
Isfenti Sadalia
Keyword(s):  
Capital Market ◽  
Share Price ◽  
Stock Index ◽  
Investor Behavior ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Analysis Technique ◽  
Independent Variable ◽  
Simple Regression Analysis

Penelitian ini menguji keberadaan perilaku herding investor pada saham LQ-45 di Pasar Modal Indonesia. Menggunakan model Cross-Sectional Absolute Deviation (CSAD) yang diusulkan oleh Chang, Cheng dan Kharona (2000). Variabel dependen dalam penelitian ini adalah Cross-Sectional Absolute Deviation (CSAD). Variabel independen dalam penelitian ini adalah return pasar. Jenis penelitian ini adalah penelitian asosiatif. Populasi yang digunakan adalah perusahaan yang terdaftar di Indeks LQ-45. Adapun yang menjadi sampel adalah 29 perusahaan. Data yang digunakan adalah data harian harga penutupan saham perusahaan dan harga penutupan indeks saham LQ-45 selama periode Januari 2013 sampai Desember 2015. Pengujian hipotesis menggunakan teknik analisis regresi sederhana dengan taraf signifikansi 5%. Hasil penelitian menunjukkan bahwa pada saat kondisi pasar turun dan kondisi pasar naik, tidak ditemukan adanya perilaku herding di Pasar Modal Indonesia. This research did a test to herding investor behavior existence to LQ-45 in Indonesia Capital Market. It employed Cross-Sectional Absolute Deviation (CSAD) model proposed by Chang, Cheng, and Kharona (2000). The dependent variable in this research was Cross-Sectional Absolute Deviation (CSAD). The independent variable in this research was the return market. The type of this research was associative research. The populations were the companies listed in LQ-45. The samples were 29 companies. The data used were the daily closing company share price data and the LQ-45 closing stock index price in January 2013 to December 2015. The hypothetical test employed a simple regression analysis technique with a significant level of 5%. This research showed that in up and down market conditions, no herding behavior found in Indonesia Capital Market

Impact of herding on the returns in the Indian stock market: an empirical study

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sunaina Kanojia ◽  
Deepti Singh ◽  
Ashutosh Goswami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Market Condition ◽  
Individual Investors ◽  
Herd Behavior ◽  
Market Conditions ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Content Type ◽  
Indian Stock Market

PurposeHerd behavior has been studied herein and tested based on primary respondents from Indian markets.Design/methodology/approachThe paper expounds the empirical evidence by applying the cross-sectional absolute deviation method and reporting on herd behavior among decision-makers who are engaged in trading in the Indian stock market. Further, the study attempts to analyze the market-wide herding in the Indian stock market using 2230 daily, 470 weekly and 108 monthly observations of Nifty 50 stock returns for a period of nine years from April 1, 2009 to March 31, 2018 during the normal market conditions, extreme market conditions and in both increasing and decreasing market conditions.FindingsIn a span of a decade witnessing different market cycles, the authors’ results exhibit that there is no evidence of herding in any market condition in Indian stock market primarily due to the dominance of institutional investors and secondly because of low market participation by individual investors.Originality/valueThe results reveal that there is no impact of herd behavior on the stock returns in the Indian equity market during the normal market conditions. It highlights that the participation of individuals who are more prone to herding is more evident for short-run investments, contrary to long-term holdings.

scholarly journals Investigative Study of Investor’s Herding Behavior During Bullish and Bearish Market: A Case of Pakistan Stock Exchange

2021 ◽  
Vol 6 (3) ◽  
pp. 17-25
Author(s):  
Muhammad Tayyab Ul Hassan ◽  
Syed Hassan Jamil
Keyword(s):  
Standard Deviation ◽  
Trading Volume ◽  
Stock Exchange ◽  
Emerging Market ◽  
Market Volatility ◽  
Herd Behavior ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Asymmetric Effects

This study investigates the influence of herd behavior on the Pakistan stock exchange indexes KSE-100 and KSE-30 during bullish and bearish markets. Using the daily market return from 2007 to 2020. We implement the method of main herding measures, Cross-sectional absolute deviation, and Cross-sectional standard deviation, to explore the influence of herd behavior in the emerging market of Pakistan. The results indicate the presence of market-wide herd behavior: (a) along with the different direction of market positive and negative return, (b) when trading volume high, (c) when stock market highly volatile, and (d) during and the post-financial crisis. Moreover, Investors don’t herd when low trading volume and low volatility. Our study fills the gap in the literature and contributes to academic relevance by exploring the influence of herd behavior among both bull and bear periods in markets of Pakistan, it also examines the possible asymmetric effects of herding related to the market with high-low trading volume and market volatility.

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