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Analisis Pengaruh Herding Terhadap Volatilitas: Studi Komparatif Indeks Konvensional dan Syariah Pada Pasar Saham Indonesia Periode 2013- 2021

Radhianityawan, Muhammad Rizky - ; Dr. Dony Abdul Chalid, S.E., M.M. (Pembimbing/Promotor) - ;

This study attempts to analyze the differences of herding behaviour in the conventional and Islamic stock markets in Indonesia. The difference on the impact of herding behaviour to volatility is also conducted. The sample used in this study is Jakarta Stock Exchange (JKSE) as a proxy for conventional stock market index, while Indonesian Sharia Stock Index (ISSI) as a proxy for shariah stock market index. The period that is chosen is 2013-2021 and using dummy for COVID-19 period. To estimate the data, this study uses the OLS method with Newey-West Estimator to detect the presence of herding behavior and GARCH to determine the effect of herding volatility. The results shows that there was no difference related to the presence of herding behavior in the 2013-2021 period in both indexes, but the conventional index shows its existence during the COVID-19 pandemic period. Furthermore, the estimation results on volatility implies that herding does not directly affect volatility, however it could be fueled through trading volume on both indexes. In conclusion, the evidence shows that the only difference between both indexes is the herding behaviour during the COVID-19 pandemic. This study contributes to modeling herding impact on volatility in Indonesia., especially for ISSI.Ada Tabel


Ketersediaan

Call NumberLocationAvailable
12948PSB lt.2 - Karya Akhir1
PenerbitDepok: Program Studi Bisnis Islam Fakultas Ekonomi dan Bisnis Universitas Indonesia 2021
Edisi-
SubjekVolatility
Sharia
Herding Behaviour
Conventional
ISBN/ISSN-
Klasifikasi-
Deskripsi Fisik129 p. ; diagr. ; 30 cm
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

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