Pengaruh Perilaku Herding dan Volatilitas IHSG terhadap Return Pasar di Bursa Efek Indonesia
DOI:
https://doi.org/10.33603/jibm.v3i2.2513Keywords:
Herding Behavior, JCI Volatility, Market ReturnAbstract
Abstract. This study aims to determine the influence of herding behavior and JCI volatility on market returns at Indonesia Stock Exchange during 2014-2018 period. This research applies quantitative research methods. The sample in this study was taken using a saturated sampling technique. The data in this study uses secondary data collected from various sources, such as the Indonesia Stock Exchange, Yahoo! Finance, Bloomberg and Reuters. This study uses multiple linear regression analysis to process data and test hypotheses. The results of this study found that herding behavior had a positive and significant effect on market returns, while the JCI volatility had a positive and significant effect on market returns. Further researchers are advised to add several other variables that can affect market returns, such as inflation rates, interest rates, and others.
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Keywords: Herding Behavior, JCI Volatility, Market Return.
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Abstrak. Penelitian ini bertujuan untuk mengetahui adanya pengaruh perilaku herding dan volatilitas IHSG terhadap return pasar di Bursa Efek Indonesia selama periode 2014-2018. Penelitian ini menerapkan metode penelitian kuantitatif. Sampel pada penelitian ini diambil menggunakan teknik sampling jenuh. Data dalam penelitian ini menggunakan data sekunder yang dikumpulkan dari berbagai sumber, seperti Bursa Efek Indonesia, Yahoo! Finance, Bloomberg dan Reuters. Penelitian ini menggunakan analisis regresi linier berganda untuk mengolah data dan menguji hipotesis. Hasil dari penelitian ini menemukan bahwa perilaku herding berpengaruh positif dan signifikan terhadap return pasar, sedangkan volatilitas IHSG berpengaruh positif dan signifikan terhadap return pasar. Bagi peneliti selanjutnya disarankan untuk menambahkan beberapa variabel lain yang bisa mempengaruhi return pasar, seperti tingkat inflasi, suku bunga, dan lain-lain.
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Kata kunci: Perilaku Herding, Volatilitas IHSG, Return Pasar.
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