Herding Behavior Detection: Bullish And Bearish Cases

Koputra, Tomy and Mahadwartha, Putu Anom (2021) Herding Behavior Detection: Bullish And Bearish Cases. In: Proceedings of the 18th International Symposium on Management (INSYMA 2021), May 27-28, 2021, on-line conference.

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Official URL / DOI: https://www.atlantis-press.com/proceedings/insyma-...


This study aims to examine the presence of herding behavior in the Indonesian stock exchange (BEI), espe-cially in the infrastructure, utilities, and transportation sectors. Daily data has been gathered for analysis from the period 2013-2017 and this period to capture the extreme market movement especially in times of bullish. For this purpose, we use the herding behavior model by Christie and Huang (1995) to measure re-turn dispersions from market return. The results fail to find any evidence of herding behavior in the infra-structure, utilities, and transportation sectors. Even in its sub-sectors, telecommunications are statistically significant in all market conditions where there is no presence of herding behavior. These findings indicate that investors in Indonesia stock market have heterogeneous beliefs and any indication that information is imparted efficiently to investor to obviate need of them to follow market consensus on their trading decisions.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: herding, behavior, investor, bullish, bearish
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Business and Economic > Department of Management
Depositing User: Putu Anom mahadwartha 31140
Date Deposited: 07 May 2021 07:40
Last Modified: 07 Dec 2022 09:11
URI: http://repository.ubaya.ac.id/id/eprint/39506

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