Herding Behavior Detection: Bullish and Bearish Cases
Tomy Koputra, Putu Anom Mahadwartha · Advances in economics, business and management research/Advances in Economics, Business and Management Research · 2021
This study aims to examine the presence of herding behavior on the Indonesian stock exchange (BEI), especially in the infrastructure, utilities, and transportation sectors.Daily data has been gathered for analysis from the 2013-2017 period, and this period was chosen to capture the extreme market movement, especially in bullish times.For this purpose, we use the herding behavior model by Christie and Huang (1995) to measure return dispersions from market return.The results fail to find any evidence of herding behavior in the infrastructure, utilities, and transportation sectors.Even in its sub-sectors, telecommunications are statistically significant in all market conditions where there is no herding behavior.These findings indicate that investors on BEI have heterogeneous beliefs and indicate that information is imparted efficiently to the investor to obviate their need to follow market consensus on their trading decisions.