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Herding Behavior: Evidence from Southeast Asian Stock Markets

In: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics

Author

Listed:
  • Harjum Muharam
  • Aditya Dharmawan
  • Najmudin Najmudin
  • Robiyanto Robiyanto

Abstract

This study aims to analyze the herding behavior in Southeast Asian stock markets. A cross-sectional absolute deviation of the returns approach is used to identify the presence of herding. Individual stocks and market returns were employed on each stock market on a daily basis during the period of January 2008 to December 2014 from five countries selected to obtain the necessary data. The samples observed consisted of stocks having higher liquidity and larger market capitalization for each stock market. The results suggest that there is significant evidence of herding behavior found in Kuala Lumpur and Philippines Stock Exchanges. In addition, there is no evidence of herding behavior in Indonesia, Singapore, and Thailand Stock Exchanges.

Suggested Citation

  • Harjum Muharam & Aditya Dharmawan & Najmudin Najmudin & Robiyanto Robiyanto, 2021. "Herding Behavior: Evidence from Southeast Asian Stock Markets," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 207-220, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:isetez:s1571-038620210000028012
    DOI: 10.1108/S1571-038620210000028012
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    More about this item

    Keywords

    Herding behavior; cross-sectional absolute deviation; stock market; Southeast Asian; behavioral finance; return; G41; G11;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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