AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES

Authors

R. Eki Rahman, Bank Indonesia, IndonesiaFollow
Ermawati Ermawati, Bank Indonesia, IndonesiaFollow

Document Type

Article

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.

Recommended Citation

Rahman, R. Eki and Ermawati, 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: Vol. 23: No. 3, Article 1.
DOI: https://doi.org/10.21098/bemp.v23i3.1362
Available at: https://bulletin.bmeb-bi.org/bmeb/vol23/iss3/1

First Page

297

Last Page

318

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Bank Indonesia