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All Journal Journal of Business & Banking Jurnal Penelitian Pendidikan Jurnal Manajemen Indonesia Jurnal Riset Akuntansi dan Keuangan SEIKO : Journal of Management & Business Almana : Jurnal Manajemen dan Bisnis Journal of Islamic Monetary Economics and Finance JAF- Journal of Accounting and Finance Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences Kontigensi: Jurnal Ilmiah Manajemen
Nora Amelda Rizal
Universitas Telkom, Indonesia
Religion Arts Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences

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Journal : Journal of Islamic Monetary Economics and Finance

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HERDING BEHAVIOR IN THE INDONESIAN ISLAMIC STOCK MARKET Nora Amelda Rizal; Mirta Kartika Damayanti
Journal of Islamic Monetary Economics and Finance Vol 5 No 3 (2019)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v5i3.1079

Abstract

Indonesia Stock Exchange provides Islamic stocks for Muslim investors who want to invest, with the first Islamic stock index in Indonesia being Jakarta Islamic Index or JII that consists of thirty of the most liquid Islamic stocks. The market capitalization of JII tends to increase every year. This paper examines the presence of herding behavior in emerging Islamic stock market of Indonesia using daily return of Indonesia Composite Index and JII from October 6, 2000 to October 5, 2018. Herding behavior could generally trigger shifting market prices from equilibrium values. Herding behavior may be identified from the relation between stock return dispersion and market return. Stock return dispersion is measured using Cross Sectional Absolute Deviation or CSAD. Generalized Auto Regressive Conditional Heteroskedasticity or GARCH method is used to detect herding behavior. GARCH does not see heteroskedasticity as a problem, instead uses it to make a model. The result indicates that herding behavior exist in Islamic stock market of Indonesia. Asymmetric herding occurs in Indonesia Islamic stock market where herding behavior exists during falling market condition only.
Co-Authors Afni Latuconsina, Yuli Nurul Audi Gracia Wasisto Carel Dwinugrahadi Kurnaman Dwi Fitrizal Salim Febrilia Izza Mauris Mawhibah Hasan Almas Mirta Kartika Damayanti Muafiah, Nurlailatul Nissa Rawindadefi Risty Mega Pramadita Suhal Kusairi valenchya kristina umardi Yuanita Seruni