DETEKSI PERILAKU HERDING PADA BULAN RAMADAN DAN NON RAMADAN DI BURSA EFEK INDONESIA

HERLAMBANG MAHARDIKA, Marwan Asri, Prof., M.B.A., Ph.D.,

2020 | Tesis | Magister Manajemen

Perilaku herding (herding behavior) merupakan kecenderungan psikologis investor untuk mengikuti perilaku investor lainnya di dalam pasar keuangan yang diakibatkan oleh tidak memadainya informasi yang tersedia di pasar dikarenakan kurangnya transparansi pasar modal sehingga dapat menyebabkan investor memiliki keterbatasan informasi mengenai perusahaan di masa akan mendatang. Gaya hidup masyarakat Indonesia didominasi oleh kultur dan kebiasaan umat muslim. Salah satunya adalah semakin tingginya konsumsi masyarakat menjelang Ramadan dan hari Raya Idul Fitri sehingga memberi dampak pada aktifitas di lantai bursa. Ramadan dapat menjadi sebuah periode yang tidak pasti yang artinya pengalaman emosional tidak selalu memberikan bentuk yang positif. Investor selama peristiwa Islam menghadapi berbagai rangkaian stimulus dan social mood yang berkorelasi dengan tingkat optimisme atau pesimisme yang mana dapat mempengaruhi keputusan investasi yang berakibat pada herding. Penelitian mengenai perilaku herding telah banyak dilakukan di berbagai negara. Namun, masih terdapat ketidakkonsistenan hasil penelitian. Oleh sebab itu, peneliti mencoba melakukan penelitian mengenai indikasi perilaku herding di Bursa Efek Indonesia. Penelitian ini menggunakan studi kasus pada seluruh perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) periode 2014-2019 selama bulan Ramadan dan Non Ramadan. Bulan Ramadan dipilih untuk diteliti karena memiliki karakteristik yang dimana berdasarkan teori Anomali Pasar atau Calender Anomaly Effect memiliki nilai abnormal return yang tinggi pada bulan Ramadan serta banyak diperdagangkan oleh para investor. Penelitian ini menggunakan dispersi/deviasi absolut (CSAD) untuk mendeteksi perilaku herding. Peneliti membagi data kedalam tiga kondisi pasar, yaitu: market all, market up, dan market down. Metode Analisis yang digunakan yaitu statistik deskriptif dan regresi kuadratik. Hasil penelitian mampu membuktikan bahwa terdapat indikasi perilaku herding selama bulan Ramadan dan Non Ramadan pada kondisi market all dan market down. Namun, pada kondisi market up tidak ditemukan perilaku herding pada bulan Ramadan dan Non Ramadan.

Herding behavior is a psychological tendency of investors to follow the behavior of other investors in the financial market due to insufficient information available on the market due to the lack of transparency in the capital market, which causes investors to have limited information about companies in the future. The lifestyle of the Indonesian people is dominated by the culture and habits of the Muslim community. One of them is the increasing public consumption ahead of Ramadan and Eid al-Fitr so that it has an impact on activities on the trading floor. Ramadan can be an uncertain period which means emotional experiences don't always take a positive shape. Investors during the Islamic event face a series of excitement and social moods that correlate with levels of optimism or pessimism which can influence investment decisions that result in herding. Research on herding behavior has been carried out in many countries. However, there are still inconsistencies in research results. Therefore, researchers tried to conduct research on indications of herding behavior on the Indonesia Stock Exchange. This study uses a case study of all companies listed on the Indonesia Stock Exchange (BEI) for the 2014-2019 period during Ramadan and Non-Ramadan. Ramadan was chosen to be studied because has characteristics which based on Market Anomaly Theory or the Calendar Anomaly Effect has a high abnormal return value in Ramadan and is widely traded by investors. This study used absolute dispersion / deviation (CSAD) to detect herding behavior. The researcher divides the data into three market conditions: market all, market up, and market down. The analysis method used quadratic regression. The results of the study were able to prove that there were indications of herding behavior during Ramadan and Non-Ramadan in market all and market down. However, herding behavior was not found in market up.

Kata Kunci : Perilaku herding, market all, market up, market down, CSAD. / herding behavior, market all, market up, market down, CSAD.