Nugraha, Muhammad Agung (2023) Analisis Pendeteksian Perilaku Herding Pada Saham Lq45. Other thesis, Universitas Islam Riau.

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Abstract

Herding behavior is an irrational behavior of investors that influences the formation of prices in the stock market. This study aims to detect and analyze herding behavior on the Indonesian stock exchange, especially on the LQ45 stock index in the period 2018 – 2022. This study uses secondary data in the form of stock returns and market returns which are processed into Cross Sectional Absolute Deviation (CSAD) to test the level of spread of returns stocks to be tested with quantile regression on market returns to detect indications of herding behavior. The results of this study are indications of herding behavior on LQ45 index stocks, especially during high return market conditions. With this indication of herding behavior, it indicates that there is irrational investor behavior in making investment decisions

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