Likuiditas, volatilitas idiosinkratik dan herding

Zebua, Andreas Kresna Agung and Sugiarta, Anggraeni and Suryanti, Suryanti (2020) Likuiditas, volatilitas idiosinkratik dan herding. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini dilakukan untuk mengetahui apakah terdapat perilaku herding dalam likuiditas dan volatilitas idiosinkratik. Penelitian dilakukan di Indonesia dengan menggunakan data individual stock yang terdapat di Bursa Efek Indonesia (Indonesian Stock Exchange) selama periode Januari 2005 hingga Maret 2020. Pada penelitian kami terkait dengan perilaku herding periode penelitian dilakukan secara keseluruhan mulai dari Januari 2005 hingga Maret 2020 dan kemudian dibagi dalam sub periode. Pengumpulan data dilakukan dengan menggunakan platform S&P Capital IQ. Untuk mendeteksi fenomena herding, kami menggunakan pengukuran variabel dengan Cross Sectional Standard Deviation of Returns (XISDR) dan Cross Sectional Absolute Deviation of Returns (XIADR). Untuk menyelidiki adanya perilaku herding adalah dengan cara melihat hubungan antara dependen variabel dengan market return. Penulis menggunakan dua perspektif pengelompokkan market return, yakni melalui likuiditas dan volatilitas idiosinkratik dengan menggunakan model empiris yakni model regresi herding liquidity dan model regresi herding volatilitas idiosinkratik. Untuk menentukan dummy variable di dalam model regresi, penulis menggunakan variable kontrol dengan menggunakan stock illiquidity, Fama-French three factors. Hasil penelitian ini menyatakan bahwa fenomena herding muncul di dalam likuditas. Herding pada market liquidity dimana herding kebanyakan hanya muncul yaitu ketika likuiditas pasar rendah. Fenomena herding juga muncul di dalam volatilitas idiosinkratik. Herding pada volatilitas idiosinkratik dimana herding kebanyakan terjadi hampir semua pada sub periode dengan tingkat volatilitas idiosinkratik yang berbeda dari masing-masing sub periode. / This research was conducted to determine whether there is herding behavior in idiosyncratic liquidity and volatility. The research was conducted in Indonesia using individual stock data contained in the Indonesian Stock Exchange during the period January 2005 to March 2020. In our research related to herding behavior, the whole research period was carried out from January 2005 to March 2020 and then divided in a sub period. Data collection was carried out using the S&P Capital IQ platform. To detect the herding phenomenon, we use variable measurements with the Cross Sectional Standard Deviation of Returns (XISDR) and Cross Sectional Absolute Deviation of Returns (XIADR). To investigate the herding behavior is by looking at the relationship between the dependent variable and the market return. The author uses two perspectives on market return classifications, namely through liquidity and idiosyncratic volatility using empirical models, namely the herding liquidity regression model and the idiosyncratic volatility herding regression model. To determine the dummy variable in the regression model, the authors use control variables using stock illiquidity, Fama-French three factors. The results of this study indicate that the herding phenomenon appears in liquidity. Herding is in the liquidity market, where most herding only appears when market liquidity is low. The herding phenomenon also appears in idiosyncratic volatility. Herding on idiosyncratic volatility where herding mostly occurs in almost all sub-periods with different levels of idiosyncratic volatility from each sub-period.

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