PERILAKU HERDING BERDASARKAN TIPE INVESTOR DALAM KEPEMILIKAN SAHAM Studi Kasus pada Saham LQ-45 Periode September 2014Agustus 2017

Gregorius Dolok Ambarita, Theodorus Sutadi, Rubiyatno Rubiyatno

Abstract


This research focused on the herding behavior based on the types of investors in the Indonesian capital market 2014-2017. This research used the method of Vector Autoregression (VAR). The research consist of investor shares volume by using a sample of companies which listed on the stock index LQ-45 month period September 2014 to August 2017. The results of VAR analysis shows that the impact of herding behavior that is significantly affected by a fellow investor. The results of the IRF show a response to the average shock occurred during the first month, variance decomposition results show the impact of the behavior of fellow investors responded only type of investor. While the results of Granger causality show that there is a causal relationship between the type investors is going in one direction. The results of the four analyzes can explain the existence of herding behavior in the Indonesian capital market, although the effect only on a fellow investor type.

Keywords


Behavior of The Investor relations (Herding Behavior), Investor-Owned Shares, LQ-45 Index, Vector Autoregressive (VAR).

Full Text:

PDF

References


Bodie, Z., Kane, A., & Marcus, A. J. (2009). Investments (8th ed.). Singapore: McGraw-Hill.

Booth, G.G., Kallunki, J.P., and Tyynela, J. (2011). Foreign vs domestik investors and the post-announcement drift. International Journal of Managerial, Vol. 7, No. 3, h. 220-237.

Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: an international perspective. Journal of Banking & Finance 24, 1651-1679.

Chen, Yu-Fen., Sheng-Yung., dan Fu-Lai Lin. (2012). Foreign institutional industrial herding in Taiwan stock market. Journal of managerial finance, Vol. 38, No.3, h. 325-340.

Devenow, Andrea and Welch, Ivo. (1996). Rational herding in financial economics. Journal of European Economic Review. Vol.40, h. 603-615.

Fuller, R. J. 2000. Behavioral finance and the source of alpha. Journal of Pension Plann Investing. Winter 1998, Vol. 2, No. 3.

Gujarati, Damodar N. (2007). Dasar-dasar Ekonometrika. Jakarta: Erlangga; PT. Gelora Aksara Pratama.

Guiterrez, R., C., & Kelley, E., K. (2009). Institutional herding and future stock returns. Working Papper University of Oregon, University of Arizona.

Halim, Abdul. (2005). Analisis Investasi. Jakarta: Penerbit Salemba Empat.

Nofsinger, John R. (2001). Investment Madness: How Psychology Affects Your Investing and What to Do About it. Prentice Hall.

Ritter, J. R. (2003). Behavioral finance. Pacific-Basin Finance Journal. Vol. 11, No. 4. September 2003. 429-437.

Sugiyono. (2008). Metode Penelitian Kuantitatif Kualitatif dan R&D. Bandung: Alfabeta.

Shefrin, Hersh. (2000). Beyond Greed and Fear: Understanding Behavioral

Finance and Psychology of Investing. New York: Harvard Business School Press.

Suhari, E., Trinugroho, I., Rahardian, R., and Wafi Ivada. (2011). Psychographic and investor behavior in Indonesia. Interdisciplinary Journal of Contemporary Research Business, Vol.2, No. 11. pp.296 302.

Tristantyo, Rajendra Wishnu. (2014). Analisis Perilaku Herding Berdasarkan Tipe Investor Dalam Kepemilikan Saham. 25 (Juli). 1-55.

UNDIP. (2012). Modul Pelatihan Aplikasi Ekonometri SAWALA, 2012, UNDIP: Management Laboratorium.

Widarjono, Agus. (2007). Ekonometrika Teori dan Aplikasi untuk Ekonomi dan Bisnis. Yogyakarta: Badan Penerbit Fakultas Ekonomi UII.




DOI: https://doi.org/10.24071/exero.v1i1.1661

Refbacks

  • There are currently no refbacks.


Copyright (c) 2018 Gregorius Dolok Ambarita, Theodorus Sutadi, Rubiyatno Rubiyatno