Herding behavior in Indonesia Stock Exchange by GARCH Model Suhendro, Apriani Dorkas Rambu A., Robiyanto, Harijono
Universitas Kristen Satya Wacana Salatiga
Abstract
The purpose of this study is to model herding behavior during bearish and bullish market conditions in the IDX before and during the pandemic of Covid-19 (2015 to 2021) using GARCH. In addition, this study aims to examine whether there is an influence of the Volatility Index (VIX) on herding behavior. Using companies listed on the Liquid 45 Index as a sample, this study found that the GARCH (1,1) is able to model herding behavior compared to ordinary least squares model. Moreover, GARCH with distribution variation (Normal/Student^s t/GED) shows that herding behavior does not exist in bullish or bearish markets before and during the pandemic. The effect of VIX is also not significant.
