Analysis of Herding Behavior in Developing Countries

When faced with market uncertainty and high volatility in financial markets, the potential for herding behavior in the stock market is likely to increase. This will cause instability in the financial market and also the economy of a country. The purpose of this study is to analyze herding behavior in the stock markets of developing countries including China, the Philippines, India, Indonesia, Korea, Malaysia, Pakistan, Taiwan and Thailand. This type of research is quantitative research and the population in this study is stocks listed on the Stock Exchanges of all developing countries with a time period from January 2016 to December 2020. The sampling method used is purposive sampling. The data used are monthly stock index data, VIX, world oil prices and the fed funds rate. Data analysis was performed through panel data regression, which is a combination of cross section and time series using the Eviews program. The results showed that there was no herding behavior in developing countries. The result of this research is that the fed fund rate has a significant effect on herding behavior in developing countries, especially in Indonesia. Keywords: Herding, Market Volatility, Oil Price, Fed Fund Rate.

PENGGUNAAN GENERALIZED LINEAR AUTOREGRESSIVE MOVING AVERAGE (GLARMA) DALAM ANALISIS FENOMENA RESESI DI INDONESIA TAHUN 2008Q1 – 2020Q1

Resesi merupakan penurunan secara signifikan dalam kegiatan ekonomi yang tersebar di seluruh aspek ekonomi. Resesi yang berkepanjangan dapat membawa perekonomian ke arah depresi. Indonesia termasuk ke dalam kategori fragile country yang menyebabkan kerentanan untuk masuk ke masa resesi semakin besar. Resesi merupakan bagian dari siklus bisnis yang mungkin akan dialami pada suatu waktu. Penelitian ini menggunakan model ­Generalized Linear Autoregressive Moving Average (GLARMA) untuk mengakomodir prediksi peluang dari fase resesi yang di definisikan dengan metode Bry Boschan dan meramal variabel independen dengan Autoregressive Integrated Moving Average (ARIMA). Variabel yang digunakan yaitu laju inflasi, fed fund rate, transaksi berjalan, harga minyak dunia, dan selisih U.S. 10Year-Bond dengan 3-Month LIBOR. Dari hasil penandaan siklus bisnis pada Produk Domestik Bruto riil, Indonesia mengalami delapan kali resesi sejak tahun 1993Q1-2020Q1 dengan durasi terpendek selama dua triwulan dan terpanjang selama delapan triwulan. Hasil dari model GLARMA(1,0) menunjukkan bahwa resesi di Indonesia didominasi oleh faktor eksternal yang dalam penelitian ini adalah selisih U.S. 10Year-Bond dengan 3-Month LIBOR dan fed fund rate memiliki pengaruh negatif secara signifikan terhadap resesi. Autoregressive lag-1 memiliki pengaruh positif terhadap resesi atau dengan kata lain kondisi yang terjadi pada triwulan sebelumnya berpengaruh terhadap terjadinya resesi di triwulan selanjutnya. Resesi di Indonesia diprediksi terjadi pada 2020Q3.

Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?

After the subprime meltdown, the Federal Reserve focused its attention on US non-farm payroll data in order to pave the way for its fund rate hikes. As time went by, the Federal Reserve deemed particularly one sub-component of this data, namely the increments on average weekly wage growth as a proxy for inflation and thus a plausible explanation for raising the interest rates. In that aspect, we decide to elaborate on this issue further and examine whether this implemented strategy indeed had a reflection in the real market. For doing so, we intend to determine whether there is any causality relation in either direction between US average weekly wage increases and 10-year Treasury Bond rates. We utilize the Toda-Yamamoto causality approach and come up with a statistically significant result between wages and bond rates. For robustness, we also consider the unemployment rate and consumption expenditures as independent variables.

Analisa Pengaruh Perubahan Fed Fund Rate, Index Harga Saham Gabungan dan Indeks LQ45 Terhadap Nilai Tukar Dollar Amerika – Rupiah

The economy in Indonesia is experiencing a decline which can be seen from the decline in the Composite Stock Price Index in Indonesia. The decline in the value of the Composite Stock Price Index and Liquid 45 Index (LQ45) affected the rupiah exchange rate against US dollars that have passed the psychological level limit of Rp. 15,000 per 1 USD. The weakening of the rupiah and the index value of the stock was triggered by an increase in interest rates set by the Federal which increase Fed Fund Rate to 2.25% in September 2018.This study aims to explain whether it is true that the announcement of changes in the central bank's fed funds rate in the United States can be related and influence the Stock Price Index and Exchange Rates in other countries, especially in Indonesia.After collecting and processing data with Path Analysis, the results show that the impact in average of the fed fund rate to the average return LQ45 index has the strongest effect compared to other variables, then the strongest effect value is produced by the effect of average return Composite Stock Price Index to the average return of the US Dollar - Rupiah which is negative 0.76. After going through the mediation process, the indirect effect that occurs between the average fed fund rate on the average return of the US Dollar – Rupiah is positive 0.451, which significantly stagnant and changes the direction of the effect compared to its direct effect of negative 0.46.

HERDING BEHAVIOUR AROUND FED FUND RATE ANNOUNCEMENTS IN SOUTHEAST ASIA

This study aims to detect herding behavior in the Southeast Asian capital market after the announcement of the fed fund rate in 2018. The population used in this study are all companies listed on the Indonesia, Malaysia, Thailand, Vietnam, Philippines stock exchanges. The sample collection technique in this study used purposive sampling. The method used to detect herding behavior using CSAD was developed by Chang, Cheng, and Khorana (2000). The results of the study found a herding behavior. . Empirical test results from the regression showed the coefficient γ2 is negative and meets the level of confidence at the level of 95%. The ability of the regression results to meet the expected level of confidence, then empirically this can conclude the existence of herding behavior. This means supporting the hypothesis in Hi, thus in aggregate it appears that during the observation period herding behavior occurred after the Fed Fund Rate 2018 was announced Keywords : Fund Fed Rates, Herding, Southeast Asia

ANALISIS PENGARUH FUNDAMENTAL EKONOMI MAKRO DAN SENTIMEN GLOBAL TERHADAP PERKEMBANGAN CREDIT DEFAULT SWAP DI INDONESIA

Penelitian ini membahas seberapa besar pengaruh sisi fundamental ekonomi makro yang terdiri dari inflasi, suku bunga, Indeks Harga Saham Gabungan (IHSG) serta sisi sentimen global yang terdiri dari Fed Fund Rate (FFR), Harga Minyak Dunia, dan indeks Dow Jones terhadap persepsi investor terhadap risiko investasi di suatu negara dalam penelitian ini adalah Indonesia yang diukur dengan nilai indeks Credit Default Swap (CDS). Penelitian ini merupakan jenis penelitian kuantitatif dimana data yang digunakan menggunakan suatu skala numerik (angka). Data yang digunakan merupakan data time series dengan periode dalam penelitian ini adalah Januari 2008- Desember 2017. Jenis data yang digunakan dalam penelitian ini adalah data sekunder yang terdiri dari data inflasi, utang luar negeri, IHSG, Fed Fund Rate (FFR), Harga minyak, dan indeks Dow Jones, Credit Default Swap. Alat analisis yang digunakan dalam penelitian ini adalah Error Correction Model-Eagle Granger (ECM-EG) dengan aplikasi Eviews 9. Hasil penelitian ini menunjukkan dalam jangka pendek hanya variabel IHSG dan indeks Dow Jones yang berpengaruh signifikan terhadap nilai indeks CDS. Dalam jangka panjang hanya variabel suku bunga yang tidak berpengaruh signifikan sedangkan variabel bebas lain berpengaruh signifikan terhadap nilai indeks CDS.

Reaksi Pasar Modal Indonesia Atas Pengumuman Kenaikan Tingkat Suku Bunga Acuan oleh Fed di AS

Tujuan dari penelitian ini adalah untuk menganalisis reaksi pasar modal Indonesia atas kebijakan kenaikan tingkat bunga acuan oleh FED (Fed Fund Rate)yang diukur menggunakan abnormal return dan trading volume activity. Penelitian ini menggunakan pendekatan event study, periode observasi selama lima hari sebelum dan lima hari sesudah peristiwa. Populasi dalam penelitian ini yaitu semua perusahaan yang terdaftar di BEI periode 2018 dan sampel penelitian diambil menggunakan metode purposive sampling. Berdasarkan hasil seleksi sampel sesuai kriteria jadi jumlah sampel yang digunakan adalah 45 perusahaan yang termasuk dalam indeks saham LQ45. Variabel yang digunakan dalam penelitian ini adalah abnormal return dan trading volume activity. Teknik analisis yang digunakan dalam penelitian ini adalah paired sample t-test. Berdasarkan hasil penelitian, reaksi pasar tidak ditunjukkan dengan adanya perbedaan abnormal return sebelum dan sesudah pengumuman kenaikan Fed Fund Rate. Namun, reaksi pasar ditunjukkan dengan adanya trading volume activity sebelum dan sesudah pengumuman kenaikan Fed Fund Rate. Kata Kunci: Event study, abnormal return, trading volume activity, tingkat suku bunga.