1 / 17

Herding Behavior in Indonesia Islamic Stock Market

Herding Behavior in Indonesia Islamic Stock Market. Nora Amelda Rizal 1 , Mirta Kartika Damayanti 2 School of Economic and Business, Telkom University. Presentation Outline. Intoduction Literature Review Methodology Results & Analysis Conclusion & Recomendation. Research Background.

chuong
Download Presentation

Herding Behavior in Indonesia Islamic Stock Market

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Herding Behavior in Indonesia Islamic Stock Market Nora AmeldaRizal1, Mirta KartikaDamayanti2 School of Economic and Business, Telkom University

  2. Presentation Outline • Intoduction • Literature Review • Methodology • Results & Analysis • Conclusion & Recomendation

  3. Research Background • Investors are well informed and act rational. • The irrational decisions lead to biases that can affect investor behavior. • Herding behavior are characterized by investors who suppress their own beliefs and make investments decisions based on market consensus even though they disagree with the action (Christie and Huang, 1995). • Herding behavior in stock market can trigger shifting market prices from fundamental value, aggravate volatility of returns, and destabilized financial markets that may worsen the crisis and increase the fragility of the financial system. • Most studies find emerging market tends to make herding and asymmetry herding where investors act differently under different market conditions.

  4. Research Background Daily Price JII Daily Price JKSE

  5. Research Background JII Market Capitalization

  6. Literature Review

  7. Literature Review

  8. Significant • Chang et al. (2000) and Chiang & Zheng(2010) studied herding behavior in emerging market. • Chaffai and Medhioub (2018) studied herding behavior in Islamic market. • Purba & Faradynawati(2011), Pangesti & Koesrindartoto (2013), Ramadhan & Mahfud (2016), Putra et al. (2017) studied herding behavior in Indonesia market using JKSE. • Zakie & Rafik(2017) studied herding behavior in Indonesia Islamic marketusing the record of buying and selling transaction JII data over period 2011 – 2016 and analysed using LSV methods and standard t-test.

  9. Contribution We investigate the existence of herding behavior in Indonesia Islamic stock market using CSAD method by Chang et al. (2000) which examine the relationship between the market returns and CSAD in non-linear regression specification using GARCH-type models estimation.We use greater frequency and longer observation period by purposing daily data from 2000 to 2018.

  10. Research Question • Does herding behavior exist in Indonesia Islamic Market? • Does herding behavior exist in Indonesia Islamic Market during asymmetry market?

  11. Data • Daily price data of JII and JKSE from 6 October 2000 to 5 October 2018. • Convert daily price stock data to return stock data. JII as individual return JKSE as portfolio return

  12. Methodology • Cross-sectional absolute deviation (CSAD)[Chang et al : 2000; Chiang & Zheng : 2010; Chaffai & Medhioub : 2018] • Divide the data into: • Falling market if market return < 0 • Rising market if market return > 0 • Generalized auto regressive conditional heteroskedasticity (GARCH) • Finding the best model among GARCH (1,1) normal, student’s, GED, IGARCH, and asymmetry GARCH [Chaffai & Medhioub : 2018]

  13. Results & Analysis(General Market) This result align with: • Chang et al. (2000) and Chiang & Zheng (2010) find herding behavior in emerging market. • Chaffai and Medhioub (2018) find herding behavior in GCC Islamic market. • Purba & Faradynawati (2011), Putra et al. (2017) find herding behavior in Indonesia market using JKSE. • Zakie& Rafik (2017) find herding behavior in Indonesia Islamic market.

  14. Results & Analysis(Asymmetry Market) Falling Market Rising Market

  15. Results & Analysis This result did not align with: • Chiang & Zheng (2010) that asymmetry herding is more profound in Asian markets during rising markets. • Chaffaiand Medhioub (2018) that find evidence of asymmetry herding behavior in Islamic GCC stock markets during up market condition only. • Purbaand Faradynawati (2011) who find the presence of asymmetry herding in Indonesia composite stocks during up marketcondition only.

  16. Conclusion • Herding behavior exist in Indonesia Islamic stock market as the coefficient of market return squared was statistically negative. • Herding behavior in Indonesia Islamic stock market exist in both market condition(falling and rising). It indicate that investors do not act differently during asymmetry market condition, so there is no asymmetry herding.

  17. Thank you

More Related