Behavior Analysis Herding of Indonesian Stock Exchange (Case Study of Stocks Listed in LQ45 Index)

Decision making in the capital market is not always based on rational considerations. Investors' actions are also influenced by psychological characteristics that emerge as human innate nature. These psychological characteristics will encourage different investor reactions. This study aims to test the indications of behavior herding on the Indonesia Stock Exchange 2006 to 2010. This study uses a sample of companies listed in the LQ45 index of 62 companies. The herding detection method is the CSAD (Cross-Sectional Absolute Deviation) method from Chang et al (2000). The variables used were dispersion value, returns absolute market and returns market squares. The data return used is derived from returns weekly for 260 weeks. The results in this study are no discovery of behavior herding on the Indonesia Stock Exchange either overall (5 years) or every year