PERILAKU INVESTOR : “HERDING AND FEEDBACK TRADING” DI BURSA EFEK INDONESIA PERIODE 2012 - 2014
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Keywords:
Net Investment Flows, return, investor, herding
Abstract
This study aims to examine investor behavior of herding and feedback trading in IDX at period 2012 – 2014. Where the indicator of herding and feedback trading adopted from Oh et al (2007) is net investment flows. This study research of two types investor, foreign and domestic. This study uses a quantitative approach to VAR model. This study uses a sample of investor in IDX period 2012 – 2014 and the sampel used in this study were 36 observations. Using unit root test and lag optimal, the model can be more accurate. This study findings that foreign and domestic investor has been herding and feedback trading. Domestic investor behavior has influenced by return at 3rd period before, and foreign investor behavior has influenced by net investments domestic at 5th and 8th period before.
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References
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Nugroho, Erwin. 2011. Herding Investor Lokal-Asing dan Hubungan Jangka Panjangnya terhadap Imbal Hasil Abnormal pada Bursa Efek Indonesia. Universitas Indonesia.
Oh, Natalie Y et al. 2007. Investors' trading behavior and performance : Online versus non-online equity trading in Korea. Pacific-Basin Finance Journal 16(2008) page 26-43.
Oooms, Marius. 2006/2007. Econometrics II-Chapter 7.6 Vector Autoregressive Models. Tinbergern Institute, VU University Amsterdam.
Awokuse, Ttitus O dan David A Bessler. 2002. Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs : An Application to the US Economy. Journal of Applied Economics Vol VI No 1(May 2003), 1-24.
Chandra, Maximilian. 2012. Tesis : Pengukuran dan Analisis Perilaku Herding pada saham IPO Bursa Efek Indonesia Tahun 2007 - 2011. Universitas Indonesia.
Chen, Gong-Meng et al. 2005. Behavior and performance of emerging market investors : Evidence from China. Cass Business School China
Fuss, Roland. 2007/08. Vector Autoregressive Models. Department of Empirical Research and Econometrics.
Gunawan et al. 2011. Pendeteksian Perilaku Herding pada pasar saham Indonesia dan Asia Pasifik. Forum Statistika dan Komputasi Vol 16 No 2 halaman 16-23.
Hadi, Yonathan S. 2003. Analisis Vector Auto Regression (VAR) terhadap korelasi antara pendapatan nasional dan investasi pemerintah di Indonesia, 1983/1984-1999/2000. Jurnal Keuangan dan Moneter Volume 6 No 2 hal 107-121.
Ikmar, Masykur. 2012. Efisiensi Pasar Modal dan Anomaly Pasar. http://monyet.gagah.wordpress.com
Ismiyanti, Fitri dan Rahmad Fuad Armansyah. 2010. Motif Go Public, Herding, Ukuran Perusahaan dan Underpricing pada pasar modal Indonesia. Universitas Airlangga.
Luetkepohl, Helmut. 2011. EUI Working Papers : Vector Autoregressive Models. Department of Economics 2011/30.
Malkiel, Burton G. 2003. The Efficient Market Hypothesis and Its Critics. CEPS Working Paper No. 91.
Natapura, Cecilia. 2009. Analisis Perilaku Investor Institusional dengan pendekatan Analytical Hierarchy Process(AHP). Bisnis&Birokrasi, Jurnal Ilmu Administrasi dan Organisasi Volume 16, Nomor 3 halaman 180-187.
Nugroho, Erwin. 2011. Herding Investor Lokal-Asing dan Hubungan Jangka Panjangnya terhadap Imbal Hasil Abnormal pada Bursa Efek Indonesia. Universitas Indonesia.
Oh, Natalie Y et al. 2007. Investors' trading behavior and performance : Online versus non-online equity trading in Korea. Pacific-Basin Finance Journal 16(2008) page 26-43.
Oooms, Marius. 2006/2007. Econometrics II-Chapter 7.6 Vector Autoregressive Models. Tinbergern Institute, VU University Amsterdam.
Published
2015-09-01
Section
Bidang Magister Manajemen (MM)
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