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

scholarly journals ANALISIS DESKRIPTIF HERDING PADA JAKARTA ISLAMIC INDEX

2020 ◽  
Vol 7 (3) ◽  
pp. 576
Author(s):  
Hazar Ihza Fauziah ◽  
Sylva Alif Rusmita
Keyword(s):  
Quantile Regression ◽  
Investment Decisions ◽  
Investor Behavior ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Economic Fundamentals ◽  
Market Portfolio ◽  
The Relationship

Herding is irrational investor behavior, because investors do not make investment decisions based on economic fundamentals, but based on other investors in the same condition, or following market consensus. Herding is measured by looking at the relationship between return market portfolio and Cross-Sectional Absolute Deviation (CSAD). This study used quantile regression to measure herding behavior. The result shows that there is no indication of herding behavior in JII, which means that investors tend to behave rationally in making investment decisions. Keywords: CSAD, Herding Behavior, Quantile Regression

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.

Rajeev Pundir

2021 ◽  
Vol 17 (2) ◽  
pp. 105-113
Author(s):  
Rajeev Pundir
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Poverty Line ◽  
Vital Role ◽  
Capital Inflows ◽  
Share Price ◽  
Stock Index ◽  
Recent Past ◽  
Indian Government ◽  
Asset Class

Put not your trust in money, but put your money in trust.”A capital market can provide huge impetus to the development of any economy .so, it can be said that the growth and sustainability of capital markets plays an important role towards the development of the economy. It is being observed that huge fluctuations are happening in Indian capital market in recent past, but with the help of proper mechanism, which is being observed in India and after examining various risk factors involved in capital markets, we attempt to say that the growth which has been observed in Indian capital market in recent past is a realty, but not a myth. Right from the independence, thanks to steps initiated by the Indian government especially after the post liberalization era. A huge growth has been observed in the aspects of quality and quantity. Huge increase has been observed in the volumes of trade. We know that capital markets play a vital role in Indian economy, the growth of capital markets will be helpful in raising the per-capita income of the individuals, decrease the levels of un-employment, and thus reducing the number of people who lies below the poverty line. With the increasing awareness in the people they start investing in capital markets with long-term orientations, which would provide capital inflows to the sectors requiring financial assistance.“Hedge risk; make the derivatives market your investment option”Derivative is finally engineered instruments which derive its value from price of a specific asset. Value of Equity Derivatives is derived from share price of any company or share index. In India trading of two types of derivatives are permitted – Futures and Options. Derivatives trading desks face a growing number of challenges – more sophisticated derivative instruments, fiercer competition, and stricter risk reporting and compliance requirements. It is now common to trade options with multi-asset-class underlying instruments quoted in different currencies, such as an option offering the best return between a Brazilian bond and a U.S. stock index. Investor uses the derivatives as an edged sword. Derivatives instruments are like a mother’s womb that cares of her baby (Investor) from volatility in the market. In nutshell this study is an effort to analyze the trading mechanism which has been followed by the investors in current scenario.

scholarly journals PERBANDINGAN HARGA SAHAM PERUSAHAAN FARMASI BUMN SEBELUM DAN SESUDAH PENGEMBANGAN VAKSIN VIRUS CORONA (COVID-19)

2021 ◽  
Vol 7 (3) ◽  
Author(s):  
Morenly Marchel Welley ◽  
Franky N. S Oroh ◽  
Mac Donald Walangitan
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Vaccine Development ◽  
Share Price ◽  
Analysis Technique ◽  
Significant Difference ◽  
Before And After ◽  
The Difference ◽  
The Government ◽  
National Economies

ABSTRACT: The existence of an extraordinary event that occurred, namely the Covid-19 Pandemic, caused the global and national economies to experience obstacles. Not only does it have an impact on the economy, but this also has an impact on the capital market. The President's announcement regarding the development of the Covid-19 vaccine provides hope for the economy and capital market to revive. The state-owned pharmaceutical company appointed by the government has also benefited from vaccine development. The purpose of this study was to determine the difference in the share price of BUMN Pharmaceutical Companies before and after the development of the corona virus vaccine (Covid-19). The data analysis technique used in this study was the Paired sample t-test. The results showed that (1) the stock price of KAEF before the announcement of vaccine development and the stock price of KAEF after the announcement of vaccine development was a significant difference and (2) the stock price of INAF before the announcement of vaccine development and the stock price of INAF after the announcement of vaccine development had a significant difference.

scholarly journals Financial Ratios and Share Prices of JII70 Indexed Companies for the 2018-2020 Period

2021 ◽  
Vol 6 (1) ◽  
pp. 23
Author(s):  
Ahmad Fauzan ◽  
Rindang Matoati
Keyword(s):  
Panel Data ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Share Price ◽  
Stock Index ◽  
Financial Ratios ◽  
Financial Ratio ◽  
Panel Data Regression ◽  
Data Regression

  Abstract: The sharia capital market in Indonesia has grown over the last five years. One of the members of the sharia capital market instrument is sharia shares. During the 2015-2020 period, the number of Islamic stock issuers continued to grow. The stock index is used by investors as a tool to choose stocks that suit their needs. IDX has issued three sharia stock indexes, and the most recent one is the JII70 index. A stock index is a collection of statistics about the price movement of a group of stocks that is evaluated periodically. One of the many factors that influence stock prices is the company's financial ratios. This study aims to analyze the influence of financial ratio factors such as Current Ratio (CR), Debt to Equity Ratio (DER), Total Assets Turnover (TATO), Return on Equity (ROE) and Earning per Share (EPS) on the stock price of JII70 indexed companies. The data used is secondary data in the form of JII70 indexed company financial statements in the 2018-2020 period. The method of determining the sample using purposive sampling. This research uses panel data regression analysis method. The results of this study show a significant effect of the DER and EPS variables on stock prices, while the CR, TATO and ROE variables do not significantly affect stock prices.Keywords: Share Price, JII70, Financial Ratio, Panel Data Regression, Sharia Shares

scholarly journals Analysis on Earnings Persistence, Independent Commissioner and Herding Behavior on Earnings Quality

2019 ◽  
Vol 3 (2) ◽  
pp. 151
Author(s):  
Ike Arisanti
Keyword(s):  
Hypothesis Test ◽  
Earnings Quality ◽  
Linear Regression Analysis ◽  
Sampling Technique ◽  
Earnings Persistence ◽  
Manufacturing Companies ◽  
Herding Behavior ◽  
Statistical Tool ◽  
Absolute Deviation ◽  
Cross Sectional

This study aims at determining the effect of independent commissioners, earnings persistence, and herding behavior on earnings quality. This study employs a multiple linear regression analysis with SPSS as the statistical tool. Before conducting the hypothesis test, a classical assumption test is conducted first, determining whether the data have met the classical assumptions and may be applied to the regression model. There are four components used in the classical assumption test, namely normality test, multicollinearity test, heteroscedasticity test, and autocorrelation test. This study takes 80 qualified manufacturing companies listed with the Indonesia Stock Exchange in 2017 as the object with a purposive sampling technique. The earnings quality variable is measured using ERC, the Herding behavior is measured using Cross Sectional Absolute Deviation (CSAD), the Independent Commissioners are measured by comparing the number of independent commissioners with overall commissioners in the companies, and the earnings persistence is measured by comparing current earnings with past earnings. The results of this study partially show that earnings persistence variable, independent commissioners and herding behavior do not influence the quality of earnings.

scholarly journals ANALISIS ROA, ROE, EPS, PER, DAN DER TERHADAP HARGA SAHAM PADA PERUSAHAAN REAL ESTATE YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2013–2016

2018 ◽  
Vol 1 (2) ◽  
Author(s):  
Charista Nurul Mafazah
Keyword(s):  
Real Estate ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Share Price ◽  
Asset Return ◽  
Return On Equity ◽  
Analysis Technique ◽  
Equity Ratio ◽  
Independent Variable

The aim of this research to examine are there impact of ROA, ROE, EPS, PER, and DER as an independent variable whit stock price as dependent variable on 10 real estate companies listed in Indonesia stock exchange and have financial statements in the period 2013–2016 so that the unit of analysis obtained is 40 financial statement list real estate company. The research variable consisted on independent variable in the form of return on asset (X1), return on equity (X2), earning per share (X3), price earning ratio (X4), debt to equity ratio (X5), and stock price (Y) as a dependent variable. Methods of data collection in of this research is the method of documentation. Data analysis technique were use multiple linier regression. Based on the results of regression analysis known that influence of return on asset, return on equity, earning per share, price earning ratio, and debt to equity ratio and simultaneously influence the stock price on the Indonesia stock exchange in period 2013–2016 at 92,8% while the rest influenced by other variables is not examined in this research. Partially, return on asset and earning per share significantly influence to stock prices, while return on equity, price earning ratio, debt to equity ratio but not significant effect on stock prices.

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.

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.

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