Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic
This study aims to detect indications of herding behavior that occurred in the ASEAN capital market throughout the COVID-19 pandemic. The research spanned from December 31, 2019, to June 30, 2021, encompassing the duration of the COVID-19 pandemic. This research used panel regression and rolling win...
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| Format: | UMS Journal (OJS) |
| Language: | eng |
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Universitas Muhammadiyah Surakarta
2024
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| Online Access: | https://journals2.ums.ac.id/index.php/reaksi/article/view/2691 |
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| author | Rahmayanti, Dewi Santi, Fitri Altin, Darus Ridwan, Muhammad Qomaruddin Wan Mohd Nazdrol |
| author_facet | Rahmayanti, Dewi Santi, Fitri Altin, Darus Ridwan, Muhammad Qomaruddin Wan Mohd Nazdrol |
| author_sort | Rahmayanti, Dewi |
| collection | OJS |
| description | This study aims to detect indications of herding behavior that occurred in the ASEAN capital market throughout the COVID-19 pandemic. The research spanned from December 31, 2019, to June 30, 2021, encompassing the duration of the COVID-19 pandemic. This research used panel regression and rolling window regression methods on the dependent variable of Cross-Sectional Absolute Deviation (CSAD) to detect indications of herding behavior. This research also employed daily stock return data for all companies on several stock exchanges in five ASEAN countries. The panel regression model was then utilized in the analysis. The panel regression results demonstrated the absence of herding behavior on the stock exchanges in ASEAN. This was evident as the Rm2 coefficient consistently revealed a significant positive sign throughout the entire observation period. However, upon rechecking through rolling window regression, it was uncovered that, at some times, herding did occur on the ASEAN stock exchange during the COVID-19 pandemic. Furthermore, the government’s policy response by limiting short selling could reduce herding on the stock market. Simultaneously, the government’s policy response to the COVID-19 epidemic, proxied by the Stringency Index, apparently heightened investor anxiety and promoted herding behavior. Lastly, the heightened levels of anxiety and volatility experienced during the pandemic (variable IVI) led to a rise in herd behavior among the stock markets of ASEAN countries. |
| format | UMS Journal (OJS) |
| id | oai:ojs2.journals2.ums.ac.id:article-2691 |
| institution | Universitas Muhammadiyah Surakarta |
| language | eng |
| publishDate | 2024 |
| publisher | Universitas Muhammadiyah Surakarta |
| record_format | ojs |
| spelling | oai:ojs2.journals2.ums.ac.id:article-2691 Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic Rahmayanti, Dewi Santi, Fitri Altin, Darus Ridwan, Muhammad Qomaruddin Wan Mohd Nazdrol herding behaviorCross-Sectional Absolute Deviation (CSAD), rolling window regression; COVID19 Pandemi, ASEAN Stock Market This study aims to detect indications of herding behavior that occurred in the ASEAN capital market throughout the COVID-19 pandemic. The research spanned from December 31, 2019, to June 30, 2021, encompassing the duration of the COVID-19 pandemic. This research used panel regression and rolling window regression methods on the dependent variable of Cross-Sectional Absolute Deviation (CSAD) to detect indications of herding behavior. This research also employed daily stock return data for all companies on several stock exchanges in five ASEAN countries. The panel regression model was then utilized in the analysis. The panel regression results demonstrated the absence of herding behavior on the stock exchanges in ASEAN. This was evident as the Rm2 coefficient consistently revealed a significant positive sign throughout the entire observation period. However, upon rechecking through rolling window regression, it was uncovered that, at some times, herding did occur on the ASEAN stock exchange during the COVID-19 pandemic. Furthermore, the government’s policy response by limiting short selling could reduce herding on the stock market. Simultaneously, the government’s policy response to the COVID-19 epidemic, proxied by the Stringency Index, apparently heightened investor anxiety and promoted herding behavior. Lastly, the heightened levels of anxiety and volatility experienced during the pandemic (variable IVI) led to a rise in herd behavior among the stock markets of ASEAN countries. Universitas Muhammadiyah Surakarta 2024-01-15 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article application/pdf https://journals2.ums.ac.id/index.php/reaksi/article/view/2691 10.23917/reaksi.v8i3.2691 Riset Akuntansi dan Keuangan Indonesia; Vol. 8 No. 3 (2023): Riset Akuntansi dan Keuangan Indonesia; 228-247 2541-6111 1411-6510 eng https://journals2.ums.ac.id/index.php/reaksi/article/view/2691/1137 Copyright (c) 2024 Riset Akuntansi dan Keuangan Indonesia https://creativecommons.org/licenses/by-nc-sa/4.0 |
| spellingShingle | herding behaviorCross-Sectional Absolute Deviation (CSAD), rolling window regression; COVID19 Pandemi, ASEAN Stock Market Rahmayanti, Dewi Santi, Fitri Altin, Darus Ridwan, Muhammad Qomaruddin Wan Mohd Nazdrol Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title | Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title_full | Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title_fullStr | Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title_full_unstemmed | Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title_short | Herding Behavior in The Asean Stock Market During The Covid-19 Pandemic |
| title_sort | herding behavior in the asean stock market during the covid 19 pandemic |
| topic | herding behaviorCross-Sectional Absolute Deviation (CSAD), rolling window regression; COVID19 Pandemi, ASEAN Stock Market |
| topic_facet | herding behaviorCross-Sectional Absolute Deviation (CSAD), rolling window regression; COVID19 Pandemi, ASEAN Stock Market |
| url | https://journals2.ums.ac.id/index.php/reaksi/article/view/2691 |
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