New Measures of Herding Behavior and Cross-sectional Time Dispersion (CSTD) by IPO Firms in Chinese IPO Markets

2021 ◽  
Vol 34 (2) ◽  
pp. 1-29
Author(s):  
Sunghwan Kim ◽  
◽  
Dongmin Lim ◽  
Jihyun Kim
Keyword(s):  
Herding Behavior ◽  
Cross Sectional ◽  
Time Dispersion

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 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 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.

scholarly journals The Impact of Herding Behavior on Stock Mispricing: The Case of Listed Companies at the Egyptian Exchange

2021 ◽  
Vol 6 (4) ◽  
pp. 7-10
Author(s):  
Nader Alber ◽  
Ehab Ezzat
Keyword(s):  
Standard Deviation ◽  
Inflation Rate ◽  
Intrinsic Value ◽  
Market Value ◽  
Herd Behavior ◽  
Herding Behavior ◽  
Cross Sectional ◽  
Stock Mispricing ◽  
The Difference ◽  
The Impact

This paper aims at examining the impact of herding behavior on stock mispricing. Herding behavior is measured by Cross Sectional of Standard Deviation (CSSD), while stock mispricing is measured by the difference between the market value and intrinsic value of stock. This has been conducted using a sample of 24 companies are listed at the Egyptian exchange during the period from 2002 to 2018. Results indicate there is a significant effect of herd behavior on stock mispricing in a bivariate context, while the effect remains significant, even after controlling for inflation rate and discount rate. Besides, the discount rates don’t seem to have any significant effects on stock mispricing.

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 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 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 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.

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