Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange

https://doi.org/10.22146/gamaijb.5399

Setiyono Setiyono(1*), Eduardus Tandelilin(2), Jogiyanto Hartono(3), Mamduh M. Hanafi(4)

(1) Faculty Economics and Business, Universitas Gadjah Mada, Indonesia
(2) Faculty Economics and Business, Universitas Gadjah Mada, Indonesia
(3) Faculty Economics and Business, Universitas Gadjah Mada, Indonesia
(4) Faculty Economics and Business, Universitas Gadjah Mada, Indonesia
(*) Corresponding Author

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.


Keywords


destabilize; herd behavior; stock market price

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DOI: https://doi.org/10.22146/gamaijb.5399

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