Comparative Analysis of Herding Behavior in Indonesia, Malaysia, and Singapore.

Adji Ramadhansyah, Andewi Rokhmawati, Fitri Fitri, Ifa Adina Yafiz


Herding Behavior is an investor bias that affects stock market price. Stock market is one of the factors that can influence economic condition in a country. This research examine the phenomenon of herding behavior in Indonesia, Malaysia, and Singapore from 2016 to 2019. This research used secondary data, stocks return and market return, and transformed it into Cross Sectional Absolute Deviation (CSAD) to test the dispersion level of stock return to find herding behavior indication using quantile regression. This research also comparing herding behavior between Indonesia and other two countries using independent sample t test. Result showed that in all countries there were no indication of herding behavior in all kind of market condition. This research also found the difference of herding behavior between Indonesia and other countries.


Herding Behavior, CSAD, Quantile Regression

Full Text:



Banerjee, A. V. (1992). A Simple Model of Herd Behavior. The Quarterly Journal of Economics, 107(3), 797–817.

Bikhchandani, S., Sharma, S., Felli, L., Flood, B., Hirshleifer, D., Hauswald, R., Khan, M., Kodres, L., Mody, A., Montiel, P., Nsouli, S., Pradhan, M., Richards, T., & Welch, I. (2001). Herd Behavior in Financial Markets. 47(3), 279–280.

Chang EC, Cheng JW, dan Khorana A. (2000). An Examination of Herd Behavior In Equity Markets: An International Perspective. Journal of Banking and Finance 24:1651– 1679.

Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behaviour in global stock markets. Journal of Banking and Finance, 34(8), 1911–1921.

Christie, W. G., & Huang, R. D. (1995). Following the Pied Piper: Do Individual Returns Herd around the Market? Financial Analysts Journal, 51(4), 31–37.

Fama, E. (1970). Efficient Capital Markets: A Review of the Theory. The Journal of Finance, 25(2), 383–417.

Freund, W. C., & Pagano, M. S. (2000). Market efficiency in specialist markets before and after automation. Financial Review, 35(3), 79–104.

Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585–616.

Lai, M.-M., & Lau, S.-H (2004). Herd Behavior and Market Stress: The Case of Malaysia. Academy of Accounting and Financial Studies Journal, 8(3), 85.

Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49(5), 1541–1578.

Messis, P., & Zapranis, A. (2014). Herding behaviour and volatility in the Athens Stock Exchange. Journal of Risk Finance, 15(5), 572–590.

Nofsinger, J. R. (2001). The impact of public information on investors. Journal of Banking and Finance, 25(7), 1339–1366.

Noviliya, H. S., & Prasetiono. (2017). Analisis Pendeteksian Herding Behaviour Pada Bursa Saham Emerging dan Developed Market Asia (Negara Indonesia, China, Singapura dan Jepang) Tahun 2012-2016. Diponegoro Journal Of Management, 6(3), 1–11.

Ramadhan, T., & Mahfud, M. K. (2016). Deteksi Perilaku Herding pada Pasar Saham Indonesia dan Singapura Tahun 2011-2015. Dipenogoro Journal of Management, 5(2), 1–9.

Shefrin, H., & Statman, M. (2000). Behavioral Portfolio Theory. The Journal of Financial and Quantitative Analysis, 35(2), 127.

Slovic, P. (1969). Analyzing the expert judge: A descriptive study of a stockbroker’s decision process. Journal of Applied Psychology, 53(4), 255–263.

Tuyon, J., & Ahmad, Z. (2016). Behavioural finance perspectives on Malaysian stock market efficiency. Borsa Istanbul Review, 16(1), 43–61.

Yao, J., & Tangjitprom, N. (2019). Herding Behaviors in ASEAN Stock Markets. 6(1).



  • There are currently no refbacks.