MACRO HERD BEHAVIOUR AND THE SIZE EFFECT: A COMPARATIVE ANALYSIS BETWEEN SHARIA (ISSI) AND NON-SHARIA STOCKS IN INDONESIA
DOI:
https://doi.org/10.18623/rvd.v23.6031Palavras-chave:
Herd Behaviour, Macro Herding, Sharia, Non-Sharia, Tessler & Venezia (TV) Method, Market CapitalizationResumo
This research employs the Tessler and Venezia Herding Model (2022) to investigate macro-level herding behavior in the Indonesian Stock Market (IHSG) using weekly stock price data for all IDX-listed companies over the 2011–2024 period. The analysis adopts a comparative framework, examining patterns across the overall IHSG, as well as the ISSI and Non-ISSI sub-samples. The findings reveal clear evidence of macro herding in the IHSG, particularly during extreme market conditions. In addition, the results show significant differences in the intensity of herding between the ISSI and Non-ISSI segments, while the effect of Market Capitalization (Size Effect) also varies across these groups. The contribution of this study lies in its application of the Tessler and Venezia Model (2022) within the Indonesian context, combined with a comparative assessment of herding behavior and the Size Effect in a dual market structure. Overall, the study underscores the importance of Sharia compliance and firm size as key factors shaping collective investor behavior, with meaningful implications for regulators (OJK) and market participants.
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