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Suhendro, Suhendro, Atahau, Apriani, Robiyanto, Robiyanto, Harijono, Harijono. (1402). Dynamic Conditional Correlation Analysis of Investor Herding: Evidence from the Indonesian and Malaysian Capital Markets. , (), -. doi: 10.22059/ier.2024.367749.1007841
Suhendro Suhendro; Apriani Dorkas Rambu Atahau; Robiyanto Robiyanto; Harijono Harijono. "Dynamic Conditional Correlation Analysis of Investor Herding: Evidence from the Indonesian and Malaysian Capital Markets". , , , 1402, -. doi: 10.22059/ier.2024.367749.1007841
Suhendro, Suhendro, Atahau, Apriani, Robiyanto, Robiyanto, Harijono, Harijono. (1402). 'Dynamic Conditional Correlation Analysis of Investor Herding: Evidence from the Indonesian and Malaysian Capital Markets', , (), pp. -. doi: 10.22059/ier.2024.367749.1007841
Suhendro, Suhendro, Atahau, Apriani, Robiyanto, Robiyanto, Harijono, Harijono. Dynamic Conditional Correlation Analysis of Investor Herding: Evidence from the Indonesian and Malaysian Capital Markets. , 1402; (): -. doi: 10.22059/ier.2024.367749.1007841

Dynamic Conditional Correlation Analysis of Investor Herding: Evidence from the Indonesian and Malaysian Capital Markets

Iranian Economic Review
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 23 بهمن 1402
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ier.2024.367749.1007841
نویسندگان
Suhendro Suhendro* 1؛ Apriani Dorkas Rambu Atahau2؛ Robiyanto Robiyanto3؛ Harijono Harijono3
1Faculty of Economics, Islam Batik University, Surakarta, Indonesia
2Faculty of Economics and Business, Kristen Satya Wacana University, Salatiga, Indonesia.
3Faculty of Economics and Business, Kristen Satya Wacana University, Salatiga, Indonesia
چکیده
This paper applies the Dynamic Conditional Correlation (DCC) multivariate GARCH model by including a volatility index to examine herding behavior. We analyzed whether stock return dispersion to the market return has a time-varying conditional correlation in the Indonesian and Malaysian capital markets. We used daily returns data of blue-chip stock and LQ45 & FTSE KLCI index for the January 2015 – December 2022 to capture herding effects among the investors of both capital markets. The main findings demonstrate herding behavior in bullish markets before the pandemic, but only for the LQ45 and not for the FTSE KLCI. Herding will result in lower market returns. We further establish that the volatility index exhibits positive significant changes in a bearish condition amidst the epidemic in both indexes. These findings suggest that while institutional and long-term investors dominate the market for blue-chip companies, they nonetheless make investment decisions based on the majority under specific circumstances. The partial presence of herding behavior and anxiety indices in the market provide support for the behavioral finance theory, which suggests that individuals may exhibit irrational behavior.  
کلیدواژه‌ها
Dispersion؛ Multivariate؛ GARCH؛ Time-Varying؛ Volatility
آمار
تعداد مشاهده مقاله: 37


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