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Analisis Herding Behavior Di Pasar Saham: Studi Kasus Asean-5+Us

Author

Listed:
  • R. Eki Rahman
  • Ermawati

Abstract

Di tengah ketidakpastian dan volatilitas yang semakin tinggi di pasar keuangan global, potensi risiko terjadi herding behavior di pasar saham kemungkinan akan mengalami peningkatan. Hal tersebut dapat menyebabkan terjadinya instabilitas di pasar keuangan dan perekonomian. Tujuan penelitian ini untuk menganalisis herding behavior dan mengkaji faktor-faktor yang dapat memengaruhinya di pasar saham ASEAN-5+US. Data yang digunakan yaitu data indeks saham harian, policy rate, VIX, ADXY, harga minyak dunia, dan dummy market stress. Hasil dari analisis kuantitatif dengan metode Newey West Coefficient Estimator menunjukkan bahwa faktor global yang dominan memengaruhi herding behavior adalah perubahan Fed Fund Rate. Sementara, faktor regional yang sangat memengaruhi adalah cross market herding dari pergerakan pasar saham Singapura. Terakhir, faktor domestik yaitu dummy market up memengaruhi herding hanya pada pasar saham Filipina dan dummy market low memengaruhi herding hanya pada pasar saham Malaysia.

Suggested Citation

  • R. Eki Rahman & Ermawati, 2019. "Analisis Herding Behavior Di Pasar Saham: Studi Kasus Asean-5+Us," Working Papers WP/06/2019, Bank Indonesia.
    • Handle: RePEc:idn:wpaper:wp062019
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    File URL: http://publication-bi.org/repec/idn/wpaper/WP062019.pdf
    File Function: First version, 2019
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    More about this item

    Keywords

    Uncertainty; Risiko; Herding; Stabilitas; Behavioral economics;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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