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Analysis of Herding Behavior in the Stock Market: A Case Study of the ASEAN-5 and the US
We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2020 |
|---|---|
| Edisi | Volume 23, number 3, 2020 |
| Subjek | United States Stock market Herding behavior ASEAN-5 |
| ISBN/ISSN | 2460-9196 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 462 p. |
| Info Detail Spesifik | Bulletin of Monetary Economic and Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |