Peranan Investor Attention Dalam Pembentukan Herding Behavior di Pasar Modal Indonesia
Abstract
Herding behavior dapat didefinisikan sebagai perilaku individu yang memutuskan untuk mengikuti orang lain dan meniru perilaku kelompok daripada mengambil keputusan secara mandiri berdasarkan informasi yang mereka punya. Analisis kali ini bertujuan untuk menganalisis keberadaan herd behavior yang dipengaruhi oleh investor attention. Dalam penelitian kali ini, Google Search digunakan sebagai proxy dari investor attention dengan dugaan bahwa ketika investor attention meningkat, maka jumlah investor yang menggunakan Google Search untuk mencari informasi akan meningkat sehingga nantinya investor akan memiliki informasi yang serupa dan kemudian membuat keputusan perdagangan serupa sehingga terbentuk herd behavior. Penelitian kali ini juga menganalisis pengaruh investor attention dalam pembentukan herd behavior pada periode market return negatif dan pada periode Pandemi COVID-19. Adapun metode yang digunakan dalam penelitian kali ini adalah metode cross-sectional absolute deviation (CSAD). Sampel penelitian yang digunakan adalah data berupa return harian dari IHSG pada periode Juli 2012-Juni 2022 yang diambil dari Refinitiv eikon dan data berupa frekuensi pencarian kata kunci terkait Pasar Modal Indonesia pada periode Juli 2012-Juni 2022 yang diambil dari Google Trends. Hasil dari penelitian kali ini adalah ditemukan keberadaan herd behavior yang dipengaruhi oleh investor attention, tetapi tidak ditemukan keberadaan herd behavior dalam periode market return negatif dan dalam periode Pandemi COVID-19.
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References
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Amin, R., & Ahmad, H. (2013). Does Investor Attention Matters? Journal of Public Administration, Finance and Law, 111-125.
Andrianto, Y., & Mirza, A. R. (2016). A Testing of Efficient Market Hypothesis in Indonesia Stock Market. Procedia - Social and Behavioral Sciences, 99-103.
Asghar, Z., & Abid, I. (2012). Performance of Lag Length Selection Criteria in Three Different Situations. Munich Personal RePEc Archive, 40042.
Baddeley, M. (2009). Herding, social influence and economic decision-making: socio-psychological and neuroscientific analyses. Philosophical Transactions of the Royal Society B: Biological Sciences, 281-290.
Baker, K., & Nofsinger, J. (2010). Behavioral Finance: Investors, Corporations, and Markets (Robert W. Kolb Series). Hoboken: John Wiley & Sons.
Batmunkh, M.-U., Choijil, E., Vieito, J. P., Espinosa-Mendez, C., & Wong, W.-K. (2020). Does herding behavior exist in the Mongolian stock market? Pacific-Basin Finance Journal, 101352.
Bikhchandani, S., & Sharma, S. (2001). Herd Behavior in Financial Markets. IMF Staff Papers, 279-310.
Bodie, Z., Kane, A., & Marcus, A. (2018). Investments. New York: McGraw-Hill Education.
Candy, & Novita, I. (2021). Herding Behavior of Indonesia Investor: Role of Personality Traits And Motivation Factors. International Journal of Economics, Business and Accounting Research (IJEBAR) , 297-303.
Cartwright, E. (2018). Behavioral Economics. New York: Routledge.
Chang, E., Cheng, J., & Khorana, A. (2000). An Examination of Herd Behavior in Equity Markets (An International Perspective). Journal of Banking & Finance, 1651-1679.
Christie, W., & Huang, R. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 31-37.
Chundakkadan, R., & Nedumparambil, E. (2022). In search of COVID-19 and stock market behavior. Global Finance Journal, 100639.
Dewi, D. P. (2023). Analisis Herding Behavior di Bursa Efek Indonesia pada Tahun 2020. E-Jurnal Akuntansi, 258-269.
Fernández, B., Garcia-Merino, T., Mayoral, R., Santos, V., & Valledado, E. (2008). The Role of the Interaction Between Information and Behavioral Bias in Explaining Herding. XVIII ACEDE Conference (pp. 1-34). Valladolid: University of Valladolid.
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Li, W., Rhee, G., & Wang, S. S. (2016). Differences in herding: Individual vs. institutional investors. Pacific-Basin Finance Journal, 174-185.
Miskolczi, P. (2017). Note on Simple and Logarithmic Return. Applied Studies in Agribusiness and Commerce – APSTRACT, 127-136.
OJK. (2022). Market Update Pasar Modal Syariah Indonesia Januari-Juni 2022. Jakarta: Otoritas Jasa Keuangan.
Peltomaki, J., & Vahamaa, E. (2015). Investor attention to the Eurozone crisis and herding effects in national bank stock indexes. Finance Research Letters, 111-116.
Purbowisanti, R., Kusuma, H., & Hanafi, S. M. (2021). Muslim Investor Behavior in Indonesia Capital Market: an Extention of Theory of Planned Behavior. Journal of Economics, Finance, and Management Studies, 1225-1234.
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Sadewo, R. A., & Cahyaningdyah, D. (2022). Investor Herding Behavior in Extreme Conditions During COVID-19: Study On Indonesian Stock Market. Management Analysis Journal, 22-29.
Setyawan, I. R., & Ramli, I. (2016). Herding Behavior in the Indonesian Stock Exchange: The Roles and Contributions of Foreign Investors During the Period 2006 to 2011. Jurnal Pengurusan, 125-135.
Singagerda, F. S., Maggie, & Suk, K. S. (2018). Google Seacrh Volume and Investors’ Decision on Return and Liquidity in Indonesia Stock Market. INA-Rxiv, 1-16.
Tas, O., & Tan, S. D. (2019). Investor attention and stock returns: Evidence from Borsa Istanbul. Borsa Istanbul Review, 106-116.
Thaler, R. (1999). Mental accounting matters. Journal of Behavioral Decision Making, 183-206.
Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 297-323.
Venezia, I., Nashikkar, A., & Shaphira, Z. (2011). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking & Finance, 1599-1609.
Vidya, Ravichandran, R., & Deorukhkar, A. (2022). Exploring the effect of COVID-19 on herding in Asian financial markets. MethodsX, 101961.
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 17-35.
Wanidwaranan, P., & Padungsaksawasdi, C. (2022). Unintentional herd behavior via the Google search volume index in international equity markets . Journal of International Financial Markets, Institutions & Money, 101503.
Warganegara, S. F., & Warganegara, D. L. (2022). Herding behavior in the indonesia stock exchange around the COVID-19 pandemic. Fair Value : Jurnal Ilmiah Akuntansi dan Keuangan, 4912-4921.
Zakirullah, & Rahmawati, S. (2020). Faktor-Faktor yang Berkontribusi Terhadap Perilaku Herding pada Investor Saham Ritel di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen, 1-23.
Amin, R., & Ahmad, H. (2013). Does Investor Attention Matters? Journal of Public Administration, Finance and Law, 111-125.
Andrianto, Y., & Mirza, A. R. (2016). A Testing of Efficient Market Hypothesis in Indonesia Stock Market. Procedia - Social and Behavioral Sciences, 99-103.
Asghar, Z., & Abid, I. (2012). Performance of Lag Length Selection Criteria in Three Different Situations. Munich Personal RePEc Archive, 40042.
Baddeley, M. (2009). Herding, social influence and economic decision-making: socio-psychological and neuroscientific analyses. Philosophical Transactions of the Royal Society B: Biological Sciences, 281-290.
Baker, K., & Nofsinger, J. (2010). Behavioral Finance: Investors, Corporations, and Markets (Robert W. Kolb Series). Hoboken: John Wiley & Sons.
Batmunkh, M.-U., Choijil, E., Vieito, J. P., Espinosa-Mendez, C., & Wong, W.-K. (2020). Does herding behavior exist in the Mongolian stock market? Pacific-Basin Finance Journal, 101352.
Bikhchandani, S., & Sharma, S. (2001). Herd Behavior in Financial Markets. IMF Staff Papers, 279-310.
Bodie, Z., Kane, A., & Marcus, A. (2018). Investments. New York: McGraw-Hill Education.
Candy, & Novita, I. (2021). Herding Behavior of Indonesia Investor: Role of Personality Traits And Motivation Factors. International Journal of Economics, Business and Accounting Research (IJEBAR) , 297-303.
Cartwright, E. (2018). Behavioral Economics. New York: Routledge.
Chang, E., Cheng, J., & Khorana, A. (2000). An Examination of Herd Behavior in Equity Markets (An International Perspective). Journal of Banking & Finance, 1651-1679.
Christie, W., & Huang, R. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 31-37.
Chundakkadan, R., & Nedumparambil, E. (2022). In search of COVID-19 and stock market behavior. Global Finance Journal, 100639.
Dewi, D. P. (2023). Analisis Herding Behavior di Bursa Efek Indonesia pada Tahun 2020. E-Jurnal Akuntansi, 258-269.
Fernández, B., Garcia-Merino, T., Mayoral, R., Santos, V., & Valledado, E. (2008). The Role of the Interaction Between Information and Behavioral Bias in Explaining Herding. XVIII ACEDE Conference (pp. 1-34). Valladolid: University of Valladolid.
Fransiska, M., Sumani, & Pangestu, S. (2018). Herding Behavior in Indonesian Investors . International Research Journal of Business Studies, 129-143.
Franz. (2018, Oktober 30). Google Trends: How to acquire daily data for broad time frames. Retrieved from medium: https://medium.com/@bewerunge.franz/google-trends-how-to-acquire-daily-data-for-broad-time-frames-b6c6dfe200e6
Galai, D., & Sade, O. (2006). The “Ostrich Effect†and the Relationship between the Liquidity and the Yields of Financial Assets. The Journal of Business, 2741-2759.
Google. (2023, January 1). FAQ about Google Trends data. Retrieved from Trends Help: https://support.google.com/trends/answer/4365533?hl=en
Google. (2023, January 1). Search tips for Trends. Retrieved from Trends Help: https://support.google.com/trends/answer/4359582?hl=en&ref_topic=4365530&sjid=2999519965048335946-AP
Gunawan, Wijayanto, H., Achsani, N. A., & Rahman, L. A. (2011). Detection of Herding Behavior on Indonesia and Asia Pacific Stock Market. Forum Statistika dan Komputasi, 16-23.
Hadady, H., & Mustafa, R. D. (2022). Perilaku Investor Herding pada Perusahaan Infrastruktur di BEI: Pendekatan Panel Data. Society, 491-505.
Hsieh, S.-F., Chan, C.-Y., & Wang, M.-C. (2020). Retail investor attention and herding behavior. Journal of Empirical Finance, 109-132.
IDX. (2019). IDX Fact Book 2019. Jakarta: Indonesia Stock Exchange.
IDX. (2021). IDX Stock Index Handbook v1.2. Jakarta: Indonesia Stock Exchange.
IDX. (2021). Outperforming Expectations amidst Uncertainties. Jakarta: Indonesia Stock Exchange.
IDX. (2022, September 1). Indeks Saham. Retrieved from IDX: https://old.idx.co.id/produk/indeks/
Imad, O. M., Razimi, M. S., & Osman, M. F. (2017). Why Do We Invest Islamically? A Literature Review on Islamic Investment Decision. Journal of Humanities, Language, Culture and Business, 1-16.
Jalil, A., & Rao, N. H. (2019). Environmental Kuznets Curve (EKC). London: Academic Press.
Jiang, R., Wen, C., Zhang, R., & Cui, Y. (2022). Investor's herding behavior in Asian equity markets during COVID-19 period. Pacific-Basin Finance Journal, 101711.
Karlsson, N., Loewenstein, G., & Seppi, D. (2009). The ostrich effect: Selective attention to information. Journal of Risk and Uncertainty, 95-115.
KSEI. (2022, Januari 1). Statistik Pasar Modal Indonesia. Retrieved from KSEI: https://www.ksei.co.id/files/Statistik_Publik_Desember_2021.pdf
Kumar, A., Badhani, Bouri, E., & Saeed, T. (2021). Herding behavior in the commodity markets of the Asia-Pacific region. Finance Research Letters.
Li, W., Rhee, G., & Wang, S. S. (2016). Differences in herding: Individual vs. institutional investors. Pacific-Basin Finance Journal, 174-185.
Miskolczi, P. (2017). Note on Simple and Logarithmic Return. Applied Studies in Agribusiness and Commerce – APSTRACT, 127-136.
OJK. (2022). Market Update Pasar Modal Syariah Indonesia Januari-Juni 2022. Jakarta: Otoritas Jasa Keuangan.
Peltomaki, J., & Vahamaa, E. (2015). Investor attention to the Eurozone crisis and herding effects in national bank stock indexes. Finance Research Letters, 111-116.
Purbowisanti, R., Kusuma, H., & Hanafi, S. M. (2021). Muslim Investor Behavior in Indonesia Capital Market: an Extention of Theory of Planned Behavior. Journal of Economics, Finance, and Management Studies, 1225-1234.
Ramadhan, T., & Mahfud, M. K. (2016). Deteksi Perilaku Herding Pada Pasar Saham Indonesia & Singapura Tahun 2011-2015. Dipenogoro Journal of Management, 1-9.
Rogers, S. (2016, July 2). What is Google Trends data — and what does it mean? Retrieved from Medium: https://medium.com/google-news-lab/what-is-google-trends-data-and-what-does-it-mean-b48f07342ee8
Sadewo, R. A., & Cahyaningdyah, D. (2022). Investor Herding Behavior in Extreme Conditions During COVID-19: Study On Indonesian Stock Market. Management Analysis Journal, 22-29.
Setyawan, I. R., & Ramli, I. (2016). Herding Behavior in the Indonesian Stock Exchange: The Roles and Contributions of Foreign Investors During the Period 2006 to 2011. Jurnal Pengurusan, 125-135.
Singagerda, F. S., Maggie, & Suk, K. S. (2018). Google Seacrh Volume and Investors’ Decision on Return and Liquidity in Indonesia Stock Market. INA-Rxiv, 1-16.
Tas, O., & Tan, S. D. (2019). Investor attention and stock returns: Evidence from Borsa Istanbul. Borsa Istanbul Review, 106-116.
Thaler, R. (1999). Mental accounting matters. Journal of Behavioral Decision Making, 183-206.
Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty, 297-323.
Venezia, I., Nashikkar, A., & Shaphira, Z. (2011). Firm specific and macro herding by professional and amateur investors and their effects on market volatility. Journal of Banking & Finance, 1599-1609.
Vidya, Ravichandran, R., & Deorukhkar, A. (2022). Exploring the effect of COVID-19 on herding in Asian financial markets. MethodsX, 101961.
Vozlyublennaia, N. (2014). Investor attention, index performance, and return predictability. Journal of Banking & Finance, 17-35.
Wanidwaranan, P., & Padungsaksawasdi, C. (2022). Unintentional herd behavior via the Google search volume index in international equity markets . Journal of International Financial Markets, Institutions & Money, 101503.
Warganegara, S. F., & Warganegara, D. L. (2022). Herding behavior in the indonesia stock exchange around the COVID-19 pandemic. Fair Value : Jurnal Ilmiah Akuntansi dan Keuangan, 4912-4921.
Zakirullah, & Rahmawati, S. (2020). Faktor-Faktor yang Berkontribusi Terhadap Perilaku Herding pada Investor Saham Ritel di Bursa Efek Indonesia. Jurnal Ilmiah Mahasiswa Ekonomi Manajemen, 1-23.
Published
2022-09-20
Section
Original Articles
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