Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange
Journal: Gadjah Mada International Journal of Business (Vol.15, No. 1)Publication Date: 2013-01-07
Authors : Setiyono Eduardus Tandelilin Jogiyanto Hartono Mamduh M. Hanafi;
Page : 27-44
Keywords : destabilize; herd behavior; stock market price;
Abstract
This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions in a certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.
Other Latest Articles
- Identification and Risk Management In The Expenditure Process: Risks Leading to Deadline Slippage and Costs, and Building Projects
- A Novel Fuzzy Logic Analysis & Study on Intrusion Detection System?
- Analysis of Android Applications & Missed Call Alerts to Registered Email Address
- A Fuzzy Improved Association Mining Approach to Estimate Software Quality?
- DETERMINATION OF NORMATIVE VALUES OF THE DEVELOPMENTAL TEST OF VISUAL PERCEPTION (DTVP-2) IN THAI CHILDREN
Last modified: 2013-06-25 16:05:13