Herding behavior pada pasar saham Indonesia dalam keputusan berinvestasi

Wijaya, Carissa Koko (2022) Herding behavior pada pasar saham Indonesia dalam keputusan berinvestasi. Masters thesis, Universitas Pelita Harapan.

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Abstract

The research was conducted with the aim of knowing whether herding behavior in the stock market in Indonesia influenced investment decisions over the last five years. The sample used from manufacturing companies listed on the LQ45 index from June 2016 – June 2021 with complete daily data. Regression analysis was carried out twice with two different conditions, under normal market and market stress conditions. Data analysis using multiple regression method showing that under normal market and market stress conditions results herding behavior during the research period, so it can be concluded that investors in the Indonesian stock market tend to make irrational decisions in investing. / Penelitian dilakukan dengan tujuan untuk mengetahui apakah herding behavior pada pasar saham di Indonesia dalam keputusan berinvestasi selama lima tahun terakhir. Sampel yang digunakan adalah perusahaan manufaktur yang terdaftar pada indeks LQ45 dari Juni 2016 – Juni 2021 dengan data harian yang lengkap. Analisa regresi dilakukan sebanyak dua kali dengan dua kondisi yang berbeda, yaitu dalam kondisi market normal dan market stress. Analisa data menggunakan metode regresi berganda dengan hasil yang menunjukkan bahwa pada kondisi market normal dan market stress menunjukkan perilaku herding behavior pada periode penelitian, sehingga dapat disimpulkan bahwa investor di pasar saham Indonesia cenderung mengambil keputusan yang irasional dalam berinvestasi.

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