Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011

Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011

Domestic investors in the Indonesian capital market (IDX) tend to be very dependent on the behavior of foreign investors. It is assumed that most of the domestic investors in the IDX are like this, caused by an axiom that the bargaining position of foreign investors is stronger than that of the do...

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Main Authors: Setyawan, Ignatius Roni, Ishak Ramli
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2016
Online Access:http://journalarticle.ukm.my/10803/
http://journalarticle.ukm.my/10803/
http://journalarticle.ukm.my/10803/1/8947-43011-1-PB.pdf
id ukm-10803
recordtype eprints
spelling ukm-108032017-10-10T13:21:30Z http://journalarticle.ukm.my/10803/ Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011 Setyawan, Ignatius Roni Ishak Ramli, Domestic investors in the Indonesian capital market (IDX) tend to be very dependent on the behavior of foreign investors. It is assumed that most of the domestic investors in the IDX are like this, caused by an axiom that the bargaining position of foreign investors is stronger than that of the domestic investors and those of other emerging markets. This study tries to investigate whether the herding behavior exists and whether the assumption that foreign investors have caused instability is true or just a myth during the period 2006-2011.There are three objectives of the study: 1) To prove whether the conduct of domestic investors’ herding behavior in the IDX exists, 2) To prove whether the trading of foreign investors causes the herding behavior and 3) To prove whether the interaction between foreign and domestic investors affect the stock volatility. Using the data from 2006 to 2011, it is found that herding behavior in the IDX exists; moreover, by using VAR analysis, it also indicates that the occurrence of herding behavior is caused by negative feedback trading from foreign investors. The volatility analysis using Parkinson and Garman-Klass methods found the stock volatilities in the IDX increased, caused by the interaction of foreign and domestic investors. Penerbit Universiti Kebangsaan Malaysia 2016 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/10803/1/8947-43011-1-PB.pdf Setyawan, Ignatius Roni and Ishak Ramli, (2016) Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011. Jurnal Pengurusan, 46 . pp. 125-135. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/805
repository_type Digital Repository
institution_category Local University
institution Universiti Kebangasaan Malaysia
building UKM Institutional Repository
collection Online Access
language English
description Domestic investors in the Indonesian capital market (IDX) tend to be very dependent on the behavior of foreign investors. It is assumed that most of the domestic investors in the IDX are like this, caused by an axiom that the bargaining position of foreign investors is stronger than that of the domestic investors and those of other emerging markets. This study tries to investigate whether the herding behavior exists and whether the assumption that foreign investors have caused instability is true or just a myth during the period 2006-2011.There are three objectives of the study: 1) To prove whether the conduct of domestic investors’ herding behavior in the IDX exists, 2) To prove whether the trading of foreign investors causes the herding behavior and 3) To prove whether the interaction between foreign and domestic investors affect the stock volatility. Using the data from 2006 to 2011, it is found that herding behavior in the IDX exists; moreover, by using VAR analysis, it also indicates that the occurrence of herding behavior is caused by negative feedback trading from foreign investors. The volatility analysis using Parkinson and Garman-Klass methods found the stock volatilities in the IDX increased, caused by the interaction of foreign and domestic investors.
format Article
author Setyawan, Ignatius Roni
Ishak Ramli,
spellingShingle Setyawan, Ignatius Roni
Ishak Ramli,
Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
author_facet Setyawan, Ignatius Roni
Ishak Ramli,
author_sort Setyawan, Ignatius Roni
title Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
title_short Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
title_full Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
title_fullStr Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
title_full_unstemmed Herding behavior in the Indonesian Stock Exchange: the roles and contributions of foreign investors during the period 2006 to 2011
title_sort herding behavior in the indonesian stock exchange: the roles and contributions of foreign investors during the period 2006 to 2011
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2016
url http://journalarticle.ukm.my/10803/
http://journalarticle.ukm.my/10803/
http://journalarticle.ukm.my/10803/1/8947-43011-1-PB.pdf
first_indexed 2023-09-18T19:58:28Z
last_indexed 2023-09-18T19:58:28Z
_version_ 1777406688665534464

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