Abstract
Herding behavior increases along with market risk, corporate uncertainty aggregate uncertainty. This research aims to investigate herding behavior in the Indonesian capital market by considering conditions of uncertainty. There are two uncertainty indicators used in this research, namely stock market volatility and COVID-19. By using daily data from companies listed on the LQ45 index, the research found that herding behavior was not detected when using the basic herding model, but when entering transaction volume variables and lagged dependent variables, we found that there was herding behavior during the 2017-2023 period. Furthermore, by including uncertainty variables, our research found an asymmetry of herding behavior: investors tend to herd when the market experiences high volatility and during the COVID-19 pandemic. Outside of these two periods, we found no empirical evidence of herding behavior in Indonesia. These results strengthen the theoretical framework that high uncertainty triggers herding behavior.
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Schedule a callMore From: Prosiding Seminar Nasional Forum Manajemen Indonesia - e-ISSN 3026-4499
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