Analysis of Investor Herding Behavior in Banking Industry Stock Listed on the Jakarta Composite Index Around Fed Fund Rate Announcement on September 2024

Amri, Fuji, Rahayu (2025) Analysis of Investor Herding Behavior in Banking Industry Stock Listed on the Jakarta Composite Index Around Fed Fund Rate Announcement on September 2024. S1 thesis, Universitas Andalas.

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Abstract

This research aims to analyze herding behavior among investors in banking industry stocks listed on the Jakarta Composite Index (IDX) in the 15 days before and 15 days after the Fed Fund Rate announcement in September 2024. The primary focus of this study is to identify whether there are indications of herding behavior. The model used to detect herding in this model proposed by Chang et al. (2000) which is Cross Sectional Absolute Deviation (CSAD). The dependent variable of this research is Cross Sectional Absolute Deviation (CSAD). The independent variable of this research is Absolute Market Return and Squared Market Return. This research is associative research. The data used is daily closing price of companies stock and the closing price of the Jakarta Composite Index. This research uses Regression Analysis toprocess data and test hypothesis. The result of this research shows that there is no herding behavior on the period before and after the announcement of Fed Fund Rate on September 2024.

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