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BACKGROUND OF STUDY
Chang, Cheng and Khorana (2000):
higher level of herding in
emerging markets
Indonesia is emerging markets
HERD
BEHAVIOR
QUESTION
RESEARCH
Herd
Does herding
behaviour exist in
Indonesian stock
market ?
Information
Asymmetry
Does information
asymmetry
influence herd
behavior?
LITERATUR REVIEW
Markets
Quickly incorporate all known information
Represent the true value of all securities
Investors
Are not totally rational
Often act based on imperfect information
There are systematic patterns or cognitive
Markets
May be difficult to beat in the long term
In the short term, there are anomalies and
excesses
Behavioral Characteristics
Loss aversion
Narrow framing
Anchoring
Mental
accounting
Diversification
LOGO
Disposition effect
Herding
Regret
Media response
Optimism
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Company Logo
TYPE OF HERDING
When investors:
has no
private
information
hesitated
with the
quality of
the
informati
on
other
people to
process
informati
on is
better
other investors
have better
information
HYPOTHESIS
0-1
LOGO
RESEARCH METHODOLOGY
Sampling
CSSD
CSAD
Christie and
Huangs
approach
(1995)
Chang et.,
al. (2000)s
approach
Saumitras
approach
(2012)
MEASUREMENTS
1
Market Returns
Information Asymmetry
where:
LOGO
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MODEL ANALYSIS
1
Basic Model
Nonlinearity Model
RESULTDESCRIPTIVE
Descriptive Statistics
N
AbsAI
AbsRm
CSAD
CSSD
ModAI
Rm
Rm2
Valid N (listwise)
Minimum Maximum
240
240
240
240
240
240
240
240
240
.00009
.00014
.01636
-.01982
-.02650
.00000
-.10375
.00000
Mean
1.01485 .0674191
.10375 .0170265
.09039 .0292555
.11725 .0420782
.02561 .0041589
.00444 .0001279
.07921 -.0024155
.01076 .0006239
Std. Deviation
.13626534
.01831267
.00949638
.01693848
.00679759
.00057964
.02491204
.00140448
LOGO
INFORMATION ASYMMETRY
EFFECT
LOGO
CONCLUSION
there is no phenomenon of herding behavior of
investors in the Indonesian Stock Exchange in
2008.