Mendeteksi Herd Behavior Dalam Sektor Pertambangan Pasar Saham Indonesia = Detecting Herd Behavior in Indonesian Stock Market Mining Sector

Chandra, Joshua Fernando (2019) Mendeteksi Herd Behavior Dalam Sektor Pertambangan Pasar Saham Indonesia = Detecting Herd Behavior in Indonesian Stock Market Mining Sector. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini mendeteksi herd behavior dalam sektor pertambangan pasar saham Indoensia. Herd behavior dideteksi dengan menggunakan dua metode, yaitu dengan pendekatan statistik dan pendekatan probabilitas. Pendekatan statistik dilakukan berdasarkan metode CSAD yang diajukan oleh Chiang dan Zheng (2010) dan pendekatan probabilitas dilakukan berdasarkan metode yang diajukan oleh Le dan Truong (2014). Deteksi dilakukan pada data harga harian saham sektor pertambangan dari tanggal 1 Januari 2014 hingga 31 Desember 2018. Hasil deteksi pendekatan statistik menunjukkan bahwa tidak ada keberadaan herd behavior. Bahkan pada hari-hari dengan pergerakan return pasar yang ekstrem, penyebaran pasar tetap tidak mengalami pengurangan sehingga dapat dikatakan herd behavior tidak terdeteksi. Namun, pada hasil deteksi menggunakan pendekatan probabilitas ditemukan ada hari-hari dimana terdapat keberadaan herd behavior. Ini menunjukkan pendekatan probabilitas dapat memberikan gambaran yang lebih jelas tentang keberadaan herd behavior pada pasar saham.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Chandra, Joshua FernandoNIM00000017673UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSaputra, Kie Van IvankyNIDN0401038203UNSPECIFIED
Thesis advisorFerdinand, Ferry VincenttiusNIDN0323059001UNSPECIFIED
Additional Information: SK 112-15 CHA m 2019; 31001000245051
Uncontrolled Keywords: Herd behavior; Market stress; CSAD
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Nicholas Sio Pradiva
Date Deposited: 11 Nov 2021 02:26
Last Modified: 11 Nov 2021 02:26
URI: http://repository.uph.edu/id/eprint/43137

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