Siahaan, Antonius TP. Covid-19 Pandemic Effect on Herding Behavior in Indonesian Market Stefanus Basuki 1), Dr. Antonius Siahaan 2) 1, 2 Swiss German University. In: 14th International Conference on Business and Management Research ( ICBMR), 12-13 October 2022, Universitas Indonesia. (Submitted)
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Abstract
The purpose of this paper is to examine the herding behavior in the Indonesian stock market during the Covid-19 pandemic and pre Covid-19 pandemic. Using the samples from all the listed stocks in LQ45 and Kompas 100 index, from the period of 01 January 2017 to 31 December 2019 to represent pre Covid-19 period and 01 February 2020 to 30 September 2021 to represent the Covid-19 period. We find that overall, herding behavior is only exist in Indonesian stock market during the Covid-19 period. Furthermore, we explore herding behavior asymmetric properties during up and down market condition. We find that herding behavior is more pronounced for downside market movement. We also conduct investigation to herding correlation to net foreign buy or sell transaction in Indonesian stock market. We find that herding is more pronounce during the times of net foreign sell throughout the Covid-19 pandemic. These results are important for investors to enhance their understanding of stock markets and the financial effects of the Covid-19 pandemic. Type of Paper: Empirical Keywords: Herding Behavior, Indonesian Stock Market, Behavioral Finance, Equity Return Dispersion, Covid-19
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. |
| Depositing User: | Antonius Siahaan |
| Date Deposited: | 13 Apr 2023 07:06 |
| Last Modified: | 13 Apr 2023 07:06 |
| URI: | http://repository.sgu.ac.id/id/eprint/2565 |
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