ANALISIS HERDING BEHAVIOR PADA PASAR SAHAM SYARIAH INDONESIA: STUDI EMPIRIS PADA INDEKS JAKARTA ISLAMIC INDEX (JII)

Rachmat Trisugiharto; Sung Suk Kim

doi:10.31539/trezv336

Authors

Rachmat Trisugiharto Universitas Pelita Harapan
Sung Suk Kim Universitas Pelita Harapan

DOI:

https://doi.org/10.31539/trezv336

Keywords:

Herding Behavior, Investor Ritel, CSAD, Pasar Saham Syariah, Jakarta Islamic Index.

Abstract

Penelitian ini bertujuan untuk mengidentifikasi keberadaan herding behavior di antara investor ritel di pasar saham syariah Indonesia, dengan fokus pada saham-saham yang terdaftar dalam Jakarta Islamic Index (JII). Penelitian ini menggunakan pendekatan Cross-Sectional Absolute Deviation (CSAD) dengan data sekunder mingguan dari Juni 2015 hingga November 2024. Model regresi linier digunakan untuk menguji pengaruh absolute market return dan squared market return terhadap nilai CSAD. Hasil penelitian menunjukkan bahwa absolute market return memiliki pengaruh positif dan signifikan, yang mencerminkan perilaku heterogen di antara investor ritel dalam kondisi pasar yang moderat. Namun, squared market return tidak signifikan, sehingga tidak memberikan bukti adanya herding behavior dalam model linier. Estimasi model kubik menunjukkan bahwa cubic market return memiliki pengaruh positif dan signifikan terhadap CSAD, yang mengindikasikan adanya hubungan non-linear antara volatilitas pasar dan dispersi return.

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