Aggregate Herding Behavior in Asymmetric and During Pandemic Covid-19: Evidence from ASEAN Capital Market Gusni (a*), Nugraha (b), Disman (c), Maya Sari (d)
a) Faculty of Economics and Business, Widyatama University /Doctoral Student of Management, Universitas Pendidikan Indonesia
b) Faculty of Economics and Business education, Universitas Pendidikan Indonesia
c) Faculty of Economics and Business education, Universitas Pendidikan Indonesia
d) Faculty of Economics and Business education, Universitas Pendidikan Indonesia
Abstract
Aggregate herding behavior can arise in asymmetric scenarios when the market is in different states (up and down markets), and also during the COVID-19 pandemic, which may lead to stock market stress. The purpose of this study is to look into the existence of aggregate herding behavior in asymmetric conditions and during the COVID-19 pandemic from four capital markets in ASEAN. This study employs a cross-sectional dispersion approach to capture herding by employing daily closing stock price data from January 2015 to December 2020. The findings revealed that asymmetric herding was only discovered in the Thailand capital market when the market was down, whereas there was no asymmetric herding behavior in other capital markets. During the COVID-19 pandemic, herding behavior occurred in the Malaysian, Thailand, and Singapore capital markets, but not in the Indonesian capital market. These findings may assist capital market officials anticipate herding behavior to keep capital markets stable, especially during times of high market volatility in ASEAN capital markets.
Keywords: herding behavior- asymmetric herding- Covid-19 Pandemic- ASEAN Capital Market
