Information Asymmetry and Herding Behavior

Komalasari, Puput Tri

doi:10.21002/jaki.2016.04

Cited by 10 publications

(32 citation statements)

References 35 publications

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“…Hasil penelitian (Gunawan, Wijayanto, Achsani, & Rahman, 2011) dan (Komalasari, 2016) menemukan bahwa pada saat pasar modal berada dalam kondisi crash, maka investor memiliki kecenderungan untuk berperilaku herding. Namun, investor justru bertindak independen pada saat pasar modal dalam kondisi bullish.…”

Section: Pendahuluanunclassified

“…Perilaku herding para investor tersebut kemudian akan berdampak terhadap naik turunnya return pasar yang diukur dari pergerakan IHSG sebagai akibat terjadinya fluktuasi di volume saham yang menjadi indikator permintaan dan penawaran (Tandelilin, 2017). (Gunawan et al, 2011) dan (Komalasari, 2016) menemukan bahwa ketika harga berubah pada level rendah atau pasar modal dalam kondisi crash, maka investor akan cenderung berperilaku herding. Namun, investor akan bertindak independen pada saat harga melonjak tinggi atau pasar modal dalam kondisi bullish.…”

Section: Pembahasan Pengaruh Perilaku Herding Terhadap Return Pasarunclassified

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Pengaruh Perilaku Herding dan Volatilitas IHSG terhadap Return Pasar di Bursa Efek Indonesia

Wijaya

Meirisa

2020

JIBM

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This study aims to determine the influence of herding behavior and JCI volatility on market returns at Indonesia Stock Exchange during 2014-2018 period. This research applies quantitative research methods. The sample in this study was taken using a saturated sampling technique. The data in this study uses secondary data collected from various sources, such as the Indonesia Stock Exchange, Yahoo! Finance, Bloomberg and Reuters. This study uses multiple linear regression analysis to process data and test hypotheses. The results of this study found that herding behavior had a positive and significant effect on market returns, while the JCI volatility had a positive and significant effect on market returns. Further researchers are advised to add several other variables that can affect market returns, such as inflation rates, interest rates, and others.Abstrak. Penelitian ini bertujuan untuk mengetahui adanya pengaruh perilaku herding dan volatilitas IHSG terhadap return pasar di Bursa Efek Indonesia selama periode 2014-2018. Penelitian ini menerapkan metode penelitian kuantitatif. Sampel pada penelitian ini diambil menggunakan teknik sampling jenuh. Data dalam penelitian ini menggunakan data sekunder yang dikumpulkan dari berbagai sumber, seperti Bursa Efek Indonesia, Yahoo! Finance, Bloomberg dan Reuters. Penelitian ini menggunakan analisis regresi linier berganda untuk mengolah data dan menguji hipotesis. Hasil dari penelitian ini menemukan bahwa perilaku herding berpengaruh positif dan signifikan terhadap return pasar, sedangkan volatilitas IHSG berpengaruh positif dan signifikan terhadap return pasar. Bagi peneliti selanjutnya disarankan untuk menambahkan beberapa variabel lain yang bisa mempengaruhi return pasar, seperti tingkat inflasi, suku bunga, dan lain-lain.Kata kunci: Perilaku Herding, Volatilitas IHSG, Return Pasar.

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Section: Pendahuluanunclassified

Section: Pembahasan Pengaruh Perilaku Herding Terhadap Return Pasarunclassified

Pengaruh Perilaku Herding dan Volatilitas IHSG terhadap Return Pasar di Bursa Efek Indonesia

Wijaya

Meirisa

2020

JIBM

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“…According to Cote and Sanders (1997), and Komalasari (2016), as one of the outcomes of herding is an inefficient market. Many researchers have examined the efficiency of Pakistan stock market, however similar to the presence of herding behaviour contradicting results have been documented.…”

Section: Literature Reviewmentioning

confidence: 99%

Do investors herd? An examination of Pakistan stock exchange

et al. 2020

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The study attempts to examine herding behaviour in Pakistan stock exchange and determine how herding behaviour responds to asymmetric market conditions. This study has employed CH model, CSSD & CSAD models, and State‐space model. We have used time series data for the period from 2000 to 2016, which include daily returns of KSE all share index and 890 firms listed on Pakistan stock exchange. The outcomes of the study not only reported significant evidence of herding behaviour in Pakistan stock market over the entire sample period but also found it to be more pronounced under extreme market conditions, market volatility and financial crisis. Further, it was found that herding behaviour increases before the crisis, whereas decreases at the time of crisis. Fund managers and investors need to take herding behaviour in to account to evaluate asset prices and require a large number of stocks for achieving a correlation of inferior degree in portfolios and same degree in diversification. In addition, funds herding can be used as a signal of managerial quality. Moreover, as herding implies that fund managers and investors react to regulatory changes in a similar way, which may prevent asset prices from reaching their fundamental values and further causes financial markets to become fragile and destabilize, thus policymakers should take measures to control herding.

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“…Investors who do not follow this information will conduct transactions by following transactions carried out by other investors. Komalasari (2016) researching related herding behavior and information asymmetry, found that when information asymmetry occurs investors tend to follow the behavior of many people, meaning that the higher the information asymmetry, investors are more likely to ignore their personal information and choose to follow market consensus. In this study it was found that the presence of GGBS Disclosure further strengthens the existence of herding behavior, meaning that investors conduct herding behavior reinforced by the information coming from within the company in the form of disclosure of GGBS Disclosure.…”

Section: Figure 2 Histogram Chartmentioning

confidence: 99%

Herding Behaviour in Sharia Stock: The Moderation Effect of Good Governance Business Sharia Disclosure

Arisanti

Oktavendi

2020

jai

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Research aims: One of the irrational behavior of investors is herding behavior. Disclosure of certain information is one of the triggering factors for herding behavior. However, "whether all the various types of information disclosure can encourage herding?" This is a big question related to the success of Good Governance Business Sharia (GGBS) information disclosure in stimulating herding behavior in Sharia stock trading. Hence, this study aims to examine the role of GGBS disclosure in herding behaviour. Design/Methodology/Approach: This study uses the object of companies listed on the ISSI (Indonesian Sharia Stock Index 2018. Data analysis in this research is using the Regression and moderation Test. Research findings:The results show that the GGBS disclosure was able to moderate herding behavior in Indonesian Sharia Stock. In this study it was found that the presence of GGBS Disclosure further strengthens the existence of herding behavior, meaning that investors conduct herding behavior reinforced by the information coming from within the company in the form of disclosure of GGBS Disclosure. Theoretical contribution/Originality: The theoretical impact is to expand the study of herding behavior and relate it to the disclosure of information. This study is also an initiator that examined the role of GGBS as moderating variable. Practitioner/Policy implication: The implication of this research is to be able to increase company concern in terms of GGBS disclosure so that the sharia stock market can be more transparent. Research limitation/Implication: This research only focuses on one information, namely GGBS Disclosure. This cannot generalize that information disclosure can strengthen or even weaken the existence of herding behavior. This research only uses one method of detection of herding, namely using Cross-Sectional Absolute Deviation (CSAD). This study uses all objects in the Indonesian Sharia Stock Index (ISSI) without considering sharia activities in each company.

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Information Asymmetry and Herding Behavior

Cited by 10 publications

References 35 publications

Pengaruh Perilaku Herding dan Volatilitas IHSG terhadap Return Pasar di Bursa Efek Indonesia

Pengaruh Perilaku Herding dan Volatilitas IHSG terhadap Return Pasar di Bursa Efek Indonesia

Do investors herd? An examination of Pakistan stock exchange

Herding Behaviour in Sharia Stock: The Moderation Effect of Good Governance Business Sharia Disclosure

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