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An Analysis Of Herding Behavior In The Stock Market: A Case Study Of The Asean-5 And The United States

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  • R. Eki Rahman

    (Bank Indonesia)

  • Ermawati

    (Bank Indonesia)

Abstract

We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.

Suggested Citation

  • R. Eki Rahman & Ermawati, 2020. "An Analysis Of Herding Behavior In The Stock Market: A Case Study Of The Asean-5 And The United States," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(3), pages 297-318, October.
    • Handle: RePEc:idn:journl:v:23:y:2020:i:3a:p:297-318
    DOI: https://doi.org/10.21098/bemp.v23i3.1362
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    More about this item

    Keywords

    Uncertainty; Risk; Herding; Stability; Behavioral Economics;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D70 - Microeconomics - - Analysis of Collective Decision-Making - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General

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