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Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 15 No. 1 (2013) · pp. 27–44

DOI
10.22146/gamaijb.5399
ISSN
2338-7238, 1411-1128
Published
2013-03-01
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions ina certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.

Keywords

Collaboration network of the authors

23 authors · 40 co-authorship links · 12 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Universitas Gadjah Mada
  • Universitas Teknologi Yogyakarta
  • Atma Jaya University Yogyakarta
  • Sanata Dharma University
  • University of Bradford
  • University of Surabaya
  • Perbanas Institute
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Dewi RatnaningsihAtma Jaya University Yogyakarta1
Achmad DjunaediUniversitas Gadjah Mada1
Hargo UtomoUniversitas Gadjah Mada1
Wahyuni ReksoatmodjoUniversitas Gadjah Mada1
Slamet SugiriUniversitas Gadjah Mada1
Sumiyana SumiyanaUniversitas Gadjah Mada1
Zaki BaridwanUniversitas Gadjah Mada1
Lukas PurwotoSanata Dharma University1
Eddy JunarsinUniversitas Gadjah Mada1
Nofie ImanUniversity of Bradford1
Dedhy SulistiawanUniversity of Surabaya1
Luciana Spica AlmiliaPerbanas Institute1
Ertambang NahartyoUniversitas Gadjah Mada1
. SupriyadiAffiliation unknown1
Junaidi JunaidiUniversitas Teknologi Yogyakarta1
Setiyono MiharjoUniversitas Gadjah Mada1
Bambang HartadiUniversitas Teknologi Yogyakarta1
Eko SuwardiUniversitas Gadjah Mada1
Leo Indra WardhanaUniversitas Gadjah Mada1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Detecting the Existence of Herding Behavior in Intraday Data: Evidence from the Indonesia Stock Exchange</dc:title>
	<dc:creator>Setiyono, Setiyono</dc:creator>
	<dc:creator>Tandelilin, Eduardus</dc:creator>
	<dc:creator>Hartono, Jogiyanto</dc:creator>
	<dc:creator>Hanafi, Mamduh M.</dc:creator>
	<dc:subject xml:lang="en-US">Finance</dc:subject>
	<dc:subject xml:lang="en-US">destabilize; herd behavior; stock market price</dc:subject>
	<dc:description xml:lang="en-US">This study attempts to investigate the issue of the existence of institutional herding in the stock market. The existence is detected in the intraday trade data from the Indonesia Stock Exchange (IDX) during up, down, and stable market condition over the period 2003-2005. By using the model of Lakonishok et al. (1992), it is found that the intensity of the existence of institutional herding at the IDX, on average, is 8.4 percent. Institutional investors do not seem to lead their transactions ina certain characteristic of stock. Most of them follow positive-feedback trading strategy while others follow negative-feedback trading strategy. This study also found that the existence of herd behavior at the IDX did not destabilize the market price in a subsequent period.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2013-03-01</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5399</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5399</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 15, No 1 (2013): January - April; 27 - 44</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5399/4395</dc:relation>
</oai_dc:dc>