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The Brokerage Firm Effect In Herding: Evidence From Indonesia

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  • Sumit Agarwal
  • I‐Ming Chiu
  • Chunlin Liu
  • S. Ghon Rhee

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  • Sumit Agarwal & I‐Ming Chiu & Chunlin Liu & S. Ghon Rhee, 2011. "The Brokerage Firm Effect In Herding: Evidence From Indonesia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(3), pages 461-479, September.
    • Handle: RePEc:bla:jfnres:v:34:y:2011:i:3:p:461-479
    DOI: j.1475-6803.2011.01273.x
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    References listed on IDEAS

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    1. Kim, Woochan & Wei, Shang-Jin, 2002. "Foreign portfolio investors before and during a crisis," Journal of International Economics, Elsevier, vol. 56(1), pages 77-96, January.
    2. Froot, Kenneth A & Scharftstein, David S & Stein, Jeremy C, 1992. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," Journal of Finance, American Finance Association, vol. 47(4), pages 1461-1484, September.
    3. Chang, Eric C. & Cheng, Joseph W. & Khorana, Ajay, 2000. "An examination of herd behavior in equity markets: An international perspective," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1651-1679, October.
    4. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
    5. Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
    6. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Department of Economics Working Papers 2001-04, Department of Economics, Williams College.
    7. Bowe, Michael & Domuta, Daniela, 2004. "Investor herding during financial crisis: A clinical study of the Jakarta Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 387-418, September.
    8. Daniel Dorn & Gur Huberman & Paul Sengmueller, 2008. "Correlated Trading and Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 885-920, April.
    9. Carpenter, Andrew & Wang, Jianxin, 2007. "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, vol. 15(2), pages 173-194, April.
    10. John R. Nofsinger & Richard W. Sias, 1999. "Herding and Feedback Trading by Institutional and Individual Investors," Journal of Finance, American Finance Association, vol. 54(6), pages 2263-2295, December.
    11. Sam Wylie, 2005. "Fund Manager Herding: A Test of the Accuracy of Empirical Results Using U.K. Data," The Journal of Business, University of Chicago Press, vol. 78(1), pages 381-403, January.
    12. Richard W. Sias, 2004. "Institutional Herding," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 165-206.
    13. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, April.
    14. Agarwal, Sumit & Faircloth, Sheri & Liu, Chunlin & Ghon Rhee, S., 2009. "Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia," Journal of Financial Markets, Elsevier, vol. 12(1), pages 32-53, February.
    15. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, vol. 80(3), pages 465-479, June.
    16. Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992. "A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October.
    17. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 1994. "Security Analysis and Trading Patterns When Some Investors Receive Information before Others," Journal of Finance, American Finance Association, vol. 49(5), pages 1665-1698, December.
    18. Tan, Lin & Chiang, Thomas C. & Mason, Joseph R. & Nelling, Edward, 2008. "Herding behavior in Chinese stock markets: An examination of A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 61-77, January.
    19. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December.
    20. Devenow, Andrea & Welch, Ivo, 1996. "Rational herding in financial economics," European Economic Review, Elsevier, vol. 40(3-5), pages 603-615, April.
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    Cited by:

    1. Peranginangin, Yessy & Ali, Akbar Z. & Brockman, Paul & Zurbruegg, Ralf, 2016. "The impact of foreign trades on emerging market liquidity," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 1-16.
    2. Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2022. "Foreign institutions and the behavior of liquidity following macroeconomic announcements," Finance Research Letters, Elsevier, vol. 50(C).
    3. Irwan A. Ekaputra & Chunlin Liu & S. Ghon Rhee & Hongchao Zeng, 2021. "Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 404-429, June.
    4. Puput Tri Komalasari & Marwan Asri & Bernardinus M. Purwanto & Bowo Setiyono, 2022. "Herding behaviour in the capital market: What do we know and what is next?," Management Review Quarterly, Springer, vol. 72(3), pages 745-787, September.

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