PERILAKU HERDING PADA INDEKS-INDEKS SEKTORAL BURSA SAHAM INDONESIA TAHUN 2013-2019

ANGGARA S, ANANDA (2020) PERILAKU HERDING PADA INDEKS-INDEKS SEKTORAL BURSA SAHAM INDONESIA TAHUN 2013-2019. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to detect herding behavior based on cross-sectional dispersion in certain market conditions as proposed by Chiang, T. C., Li, J., & Tan, L. (2010). This method allows researchers to evaluate if there is a herding behavior in the capital market. This study uses 9 (nine) sectoral indexes listed on the Indonesia Stock Exchange in the 2013-2019 period. This study examines the hypothesis that herding behavior occurs in the sectoral indexes of the Indonesian capital market in a rising and a falling market. The results showed that herding behavior occurred in all sectoral indexes in a falling market condition, but herding behavior was not indicated at all in a rising market condition. Keyword: behavioral finance, herding behavior, CSAD, return, quantile regression Penelitian ini bertujuan untuk mendeteksi perilaku herding yang didasarkan pada dispersi cross-sectional dalam kondisi pasar tertentu sebagaimana diajukan oleh Chiang, et al. (2010). Metode ini memungkinkan peneliti untuk mengevaluasi bila ada perilaku herding. Penelitian ini menggunakan data 9 (sembilan) indeks sektoral yang terdaftar di Bursa Efek Indonesia pada periode 2013-2019. Studi ini menguji hipotesis bahwa perilaku herding terjadi di indeks sektoral pasar modal Indonesia dalam kondisi pasar naik dan pasar turun. Hasil penelitian menunjukan perilaku herding terjadi pada seluruh indeks sektoral dalam kondisi pasar turun namun perilaku herding sama sekali tidak terindikasi pada kondisi pasar naik. Kata kunci: behavioral finance, perilaku herding, CSAD, return pasar, regresi kuantil

Item Type: Thesis (S2)
Call Number CD: CD/551. 20 160
Call Number: TM/51/21/103
NIM/NIDN Creators: 55118110183
Uncontrolled Keywords: behavioral finance, perilaku herding, CSAD, return pasar, regresi kuantil
Subjects: 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.6 Investment/Investasi
300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 381 Commerce, Trade/Perdagangan > 381.1 Retail Trade/Perdagangan Ritail, Pasar
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.7 Accounting for Specific Phases of Business Activity/Akuntansi Khusus yang Berkaitan dengan Bidang Bisnis > 657.76 Capital Accounting/Akuntansi Modal
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Putra Arsy Anugrah
Date Deposited: 04 Jul 2023 08:24
Last Modified: 04 Jul 2023 08:24
URI: http://repository.mercubuana.ac.id/id/eprint/52677

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