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Abstract
Purpose: The study aims to examine the effect of trading volume, market capitalization, and firm size in explaining return on vultures in selected companies in Indonesia. Methodology/Approach/Design: The population is 131 JII forming companies in IDX between December 2009 – May 2010 to December 2019 – May 2020. All data is transformed into standard form because the model used is path analysis. The corresponding regression of equation 1 is the Random Effect model and the corresponding Regression equation 2 is the Fixed Effect model. This study uses panel data analysis; the Chow test and Hausman test are also used. Data is processed using statistics EViews software. Results: The results of the equalization test 1, trading volume has a significant negative effect on the return of shares. The results also show that the market capitalization has a significant negative effect on the return of shares, and consequently the size of the company has a significant negative effect on the return of shares. Hasil testing for equalization 2, trading volume has a significant effect on vultures, while market capitalization has no significant effect on vultures. The size of the company has a significant effect on vultures, and the return of the company has a significant effect on vultures. Practical Implications: This research is limited to the variety of indices and varieties of securities that become populations and samples. Future research can be developed by focusing on indices and securities as well as the development of other variables in the behavioral finance section in addition to herding. Originality/Value: This study differs greatly from previous studies in emerging markets in contributing to literature from a new direction in exploring investor returns and herding.
Highlights
Follow-up behaviour in capital markets around the world has been widely reviewed and almost all of them are found to be follow-up behaviour
All data is transformed into standard form because the model used is Path Analysis
The test result for the equation 1 Return stock = f using Common Effect Models obtained that the coefficient value in X1 = -0.010221, X2 = 0.020621, X3 = -0.037749 with R-squared of 0.011108
Summary
Follow-up behaviour in capital markets around the world has been widely reviewed and almost all of them are found to be follow-up behaviour. This participating behaviour in finance is called vultures. Until now herding in the capital market is still under review and growing from what was done by previous studies. The study of herding in the capital market is still a contentious issue. Vultures occur in all capital market players both individuals, institutional, domestic investors, foreign investors, male investors, women, and fund managers. Individual investors rely more on public information for their trades as they are influenced by market sentiment and eye-catching events (Wei et al, 2016)
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