• R. Eki Rahman Bank Indonesia
  • Ermawati Ermawati Bank Indonesia
Keywords: Uncertainty, Risk, Herding, Stability, Behavioral Economics


We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.



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How to Cite
Rahman, R., & Ermawati, E. (2020). AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES. Buletin Ekonomi Moneter Dan Perbankan, 23(3), 297 - 318.