Research Paper
Year: 2021 | Month: March | Volume: 8 | Issue: 3 | Pages: 593-600
Analysis of Herding Behavior of Investors in the Banking Industry in Indonesian Stock Market for February - June 2020 Period
Nova Sihombing1, Isfenti Sadalia2, Rulianda Purnomo Wibowo2
1,2Master of Management Study Program on Postgraduate School of University of Sumatera Utara
Corresponding Author: Nova Sihombing
ABSTRACT
This study aims to analyze the herding behavior of investors on banking industry on the Indonesian stock market for the period February - June 2020. This study uses the Chang, Cheng and Kharona (2000) model in detecting herding. The dependent variable in this study is Cross-Sectional Absolute Deviation (CSAD). The independent variable in this study is market return. The sample in this study was 43 existing banking industry stocks registered February - June 2020 using the target population technique. The data analysis method in this research is simple regression analysis. The data used are daily data on the closing price of the company's shares and the closing price of the JCI during the period February - June 2020. The results showed that during a bear market condition, there was no indication of herding behavior in the banking industry on the Indonesian stock market for the period February - June 2020.
Keywords: Herding Behavior, CSAD, Market Return.
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