The 2015 International Conference of Management Sciences ICoMS 2015, April 23, UMY, Indonesia
140
Release of Sbi Interest Rate and Stock Trading Volume on the Herding Behavior of Indonesian Investors
Hartaty Hadady
1
, Siti Puryandani
2
1
PhD Student of Diponegoro University, Semarang Lecturer of Khairun University, Ternate
hartaty_malikyahoo.com
2
PhD Student of Diponegoro University, Semarang Lecturer of STIE BPD Jateng, Semarang
sitipuryandaniyahoo.com
ABSTRACT
Herding behavior refers to the behavior of investors to sell or buy stocks regardless of the underlying reasons for investing. At the time of herding behavior occurs, it make investments
without taking into account the risks and returns that it will get. Some of the negative impact of herding behavior are the investor may only perform the actual types of investments they do not
understand and take unnecessary risks. Sources of information obtained by investors are macroeconomic information SBI rate and movement of stock trading volume. The aim of our
study is examine the macroeconomic variables and stock trading volume of the herding behavior of investors in the Indonesia Stock Exchange. Studies conducted by used daily data from LQ45
companies and observation period from 2007-2012. Our finding indicated that the homogeneous information macroeconomic variables and heterogeneous information variable trading volume
did not impact the herding behavior of investors, because of possible amount of information that affects the herding behavior of investors in Indonesia.
Keywords:
Release of SBI Interest rate, stock trading volume, herding behavior
1. BACKGROUND
There was a phenomenon that an investor decision influenced by many informations in
making investment. The flow of information will be analyzed to get a valid decision for
buying, holding or selling stocks. However, there were many empirical studies showed
that a investment decision influenced strongly by investor behavior in following
movement trend of stock price or that is known as a herding behavior Sehgal and
Singh 2012; Kudryavtsev et al. 2013; Nirei et al. 2012; Aduda et al. 2012; Ghalandari
and Ghahremanpour 2013. The herding behavior in stock exchange has
be studied by researchers such as Agarwal et al. 2011 in Indonesia, Al-Shboul 2012 in
Australia, Prosad et al. 2012 in India, Moradi and Abbasi 2012 and Golarzi and
Ziyachi 2013 in Tehran, Chen et al. 2003 in China, Elkhaldi and Abelfatteh 2014 in
Tunisia, Ahsan and Sarkar 2013 in Dhaka and others studied of the herding behavior in
stock exchange. The aim of this researched is to re-examine the herding behavior of
Indonesian stock exchange in different contexts. The herding behavior done by
investor when there was the release of SBI interest rate and the movement of stock
trading volume. The movement of stock trading volume becomes a guidance by
investors due to a momentum on important of events or news as of the movement
direction has been monitored. The consideration in using release of SBI
interest rate is the SBI interest rate level as a public
information that
is released
periodically and
provide information
assurance to
investors. The
public information
helps in
solving market
uncertainty Ederington and Lee 1996; Connolly and Stivers 2005; Shaikh and
Padhi 2013. Based on the study of Belgacem and Lahiani 2013 that there was
a periodically macroeconomy news released can reduce the intensity of herding behavior.
The 2015 International Conference of Management Sciences ICoMS 2015, April 23, UMY, Indonesia
141
This result of Belgacem and Lahiani also concordance with the study of Saeedi and
Chahardeh 2013 that the low uncertainty effect of public information can reduce the
herding behavior. The second reason of this study is using the
stock trading volume as it shows investor intention towards a certain stock. The
movement of stock trading volume in enterprise can be a guidance for investor
regarding market trends. According to Karpoff 1987, the stock trading volume is
positively related to the changing of price in stock exchange and stock price changing in
enterprise. The volume of stock trading is a signal information flow moves to market,
which comes from private information Bessembinder et al. 1996and the spreading
of information trust Chen et al. 2001. Al- Shboul 2012and Economou et al. 2010
examined
the asymmetry
of herding
behavior, that is created by the high volume of stock trading. If the volume of trading
stock increases, the herding behavior intensity decreases, due to the stock
exchange is more liquid. Based on the above explanation, this study is
important to be examined as it shows there is the herding behavior or not in Indonesia
stock exchange, with the entrance of SBI interest rate information and fluctuation of
stock trading volume. The result of this study provides more insight knowledge of
finance especially the finance behavior as the factor behavior is a phenomenon that is
difficult to be anticipated. The presence of herding behavior due to the release of the
SBI interest rate and the movement of trading volume refers to government policy
regarding the importance of enterprise information and other formal information to
be released publicly.
2. THEORETICAL REVIEW
