Herd Behavior and Indonesian Financial Crisis

Armansyah, Rohmad Fuad (2018) Herd Behavior and Indonesian Financial Crisis. Herd Behavior and Indonesian Financial Crisis, 6 (2). pp. 86-89. ISSN 2315-4462

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Abstract

Indonesia is one of an emerging country in Asia. As an emerging country, Indonesian capital market attract the investor from around the world to make investment. Investment require good, clear information and trustworthy to make decision. The information that investor received may vary to other investor. These differences could lead to herd behavior. Good herd behavior will lead to economic growth otherwise will lead to crisis. These research examine the effect of herd behavior of investors to the financial crisis of 2008 and 2013 of the Indonesian capital market. Variables used in this research is financial crisis was measured using Exchange Market Pressure Index (EMPI) and herd behavior measured with LSV formula. The method used is a model of Vector Auto Regression (VAR) with a stationary test phase, co-integration test, VAR estimations, impulse response analysis, analysis of variance decomposition, and causality test. The findings is indicate that investors in Indonesia stock market has irrational behavior that leads to herd behavior, especially during financial crisis furthermore, herding behavior affecting the occurrence of financial crisis in Indonesia. These findings provide knowledge about the effect of herding behavior in financial crisis Indonesia and provide input for academics in the field of behavioral finance management, especially in the development of capital markets and for investors to give feedback on the importance of the behavior of investors in the Indonesian capital market.

Item Type: Article
Uncontrolled Keywords: financial crisis, herd behavior, vector auto regression
Subjects: 600 - TECHNOLOGY > 658 - GENERAL MANAGEMENT > 658.15 - FINANCIAL MANAGEMENT
Divisions: Lecturer
Depositing User: ROHMAD FUAD ARMANSYAH
Date Deposited: 07 Jan 2019 03:11
Last Modified: 04 Nov 2019 02:10
URI: http://eprints.perbanas.ac.id/id/eprint/3437

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