The 2015 International Conference of Management Sciences ICoMS 2015, April 23, UMY, Indonesia
144
corporate action information, issues or rumors developed. In conjunction with
herding behavior of investors, a trading volume of stock provides clues of investors’
interest in general, so the herd behavior will increase while the trading volume will
decrease. Investors make the herd behavior because they do not have certainty of
information or lack of understanding of movement of the variables affecting the
decisions of investors to invest.This is supported by research conducted by Al-
Shboul
2012and Economou
et al.
2010they tested the asymmetry herd behavior, in which the herding behavior is
created due to high volume of stock trading. If the herding behavior increases, stock
trading volume will decrease due to factor of mimicking
direction of
the market
movement so that excessive transaction will not occur as reflected in the increased
volume of stock trading.
Ha2: There is a negative effect of high trading volume on herding behavior
3. Research Method
SAMPLE AND DATA
The present study used population of LQ45 stocks with observation period from 2007
to2012. Sample of the study was selected by a purposive sampling method with criteria
are large active stocks of the Indonesia Stock Exchange and shares of companies
included int he sample had data from 2007to 2012 consecutively.
Data of the study consists of: 1 Market return, 2 Company return, 3 Volumeof
trading, 4 Shares outstanding, 5 The release date of macro economic variables
SBI rates. The data were obtained from data base of the Indonesian Capital Marketin
Indonesian Capital
Market Directory
. Macro economic data was obtained from
www.bi.go.id.
OPERATIONAL DEFINITION OF THE VARIABLES
Measure ments performed for eachv ariable can be seen in the following table:
Table1Variable Measurement No
Variables Variable Measurement
Dependent Variable
1. Herding Behavior
CSAD = Cross Sectional Absolute
Deviation …….. 2
Given: N isthe number of companies in LQ45, is a stock return of a company, LQ45at t,
is return
ofcomposite stock price index at time t. Belgacem and Lahiani 2013; Chang et al. 2000
Independent Variable
1. SBI rates release
Dummy
of SBI rates release. SBI rate release is a
dummy
variable = 1 if a release is found and 0 if otherwise Belgacem and Lahiani
2013
2. Stock Trading Volume
Stock Turnover ……..3
Connolly and Stivers 2005; Smidt 1990; Le Baron 1992; Cambel, et al 1993.
Rate of stock turnoverused is a
dummy variable
of high and low TO.
Dummy variabel
= 1 if TO value higher than average values of its movement and 0 if else
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145
TECHNICAL ANALYSIS AND HYPOTHESES TESTING
Techniques of data analysis can be done by using
Eviews 8
software asa tool of data processing and regressing amodel has been
formulated previously. The model of hypothesis testing proposed is based on the
model of Chang et al. 2000 and Belgacem
and Lahiani 2013. Empirical model of researchis:
…. 4 Given: CSAD
t
is a cross-sectional absolute deviationas a measure of herding behavior,
is the market return, is a dummy
variable =1if there is are lease of macro economic and 0 if other,
is a dummy variable =1if a stock turn over rate is high er
than average value of its move ment. β, , θ,
k
, θ are the estimated coefficients. And
t
is residual value of the model.
Overall models of the present study were estimated by using method of ordinary least
squares OLS. Conclusion of the estimation result is base
don’t wo methods, the first is the value of t-testp robability ort-statistic
-Value of each estimated coefficient with α = 0.05, and the second is based on the
results of the F-calculation with α = 0.05.
The model fit is viewed from adjusted R
2
in which the value of close to 1, the better the
model. Test of the first hypothesis, direction of
coefficient was already known, namelya negative effect -, then the hypothesis was
made through a one-sided test. Formulation of hypotheses in order to test the effects of
macro economic news MN on a herding behavior is H0:
1
and Ha:
1
.Testing of significance of the effect of macro economic release on herding behavior
was performed by t-test and compared the probability
value
value to
the significance level of
. If the probability value is less than the
value, then H0 is rejected and Ha is accepted. Accordingly, it
can be concluded that the economic news affects herding behavior.
In order to test the second hypothesis, direction of coefficient was already known,
namely the negative effect -, then the hypothesis was made through a one-sided
test. Formulation of hypotheses in order to test effect of high and low stock turn over on
herding behavior is H0:
and Ha: . Testing of significance of the effect of high
and low stock turn over on herding behavior was performed by t-test andc ompared the
probability value
value
to the
significance level of . If the probability
value is less than , then H0 is rejected and
Ha is accepted. It can be concluded that the stock turn over rate affects the herding
behavior.
4. Results and Discussion
