Applying an international CAPM to herding behaviour model for integrated stock markets
Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence o...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Centre of Sociological Research, Szczecin, Poland
2017-12-01
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| Series: | Journal of International Studies |
| Subjects: | |
| Online Access: | http://jois.eu/?375,en_applying-an-international-capm-to-herding-behaviour-model-for-integrated-stock-markets |
| _version_ | 1818683931825799168 |
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| author | Najmudin Najmudin Diana Hashim Syarif Sugeng Wahyudi Harjum Muharam |
| author_facet | Najmudin Najmudin Diana Hashim Syarif Sugeng Wahyudi Harjum Muharam |
| author_sort | Najmudin Najmudin |
| collection | DOAJ |
| description | Development of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets’ movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China and the Philippines, herding happened for both overall the sample period and the market crisis period. In addition, for the integrated stock markets, represented by Indonesia, Japan, Malaysia, Singapore, Thailand, and the UK, herding behavior was only found during the market crisis period. Therefore, classification of market integrations should be considered in assessing the herding behaviour at stock markets. |
| first_indexed | 2024-12-17T10:42:35Z |
| format | Article |
| id | doaj.art-eb28546686674ebd8832368fd6c7fb2a |
| institution | Directory Open Access Journal |
| issn | 2071-8330 2306-3483 |
| language | English |
| last_indexed | 2024-12-17T10:42:35Z |
| publishDate | 2017-12-01 |
| publisher | Centre of Sociological Research, Szczecin, Poland |
| record_format | Article |
| series | Journal of International Studies |
| spelling | doaj.art-eb28546686674ebd8832368fd6c7fb2a2022-12-21T21:52:13ZengCentre of Sociological Research, Szczecin, PolandJournal of International Studies2071-83302306-34832017-12-0110410.14254/2071-8330.2017/10-4/3Applying an international CAPM to herding behaviour model for integrated stock marketsNajmudin Najmudin0Diana Hashim Syarif1Sugeng Wahyudi2Harjum Muharam3Faculty of Economics and Business, Universitas Diponegoro, Faculty of Economics and Business, Universitas Jenderal SoedirmanFaculty of Economics and Business, Universitas DiponegoroFaculty of Economics and Business, Universitas DiponegoroFaculty of Economics and Business, Universitas DiponegoroDevelopment of financial globalization in the form of stock market integration experiences a trend which is getting stronger. The analysis models in the field of finance and investments should be able to adjust to these developments. This adjustment includes the models used to detect the existence of herding behavior. All this time, the herding behavior model of individual stocks towards market consensus has been referring to CAPM theory. The basic assumption of CAPM is that financial assets at a domestic stock market are segmented from the financial assets’ movement at the global market. Therefore, this paper aims to provide an alternative view in the form of an international herding model that should be applied in the context of an integrated stock market. The model was created with reference to the international CAPM. This paper combined ICAPM method and international CSAD model to identify herding for eight stock markets, the sample period being from January 2003 to December 2016. The result found that for segmented stock markets, represented by China and the Philippines, herding happened for both overall the sample period and the market crisis period. In addition, for the integrated stock markets, represented by Indonesia, Japan, Malaysia, Singapore, Thailand, and the UK, herding behavior was only found during the market crisis period. Therefore, classification of market integrations should be considered in assessing the herding behaviour at stock markets.http://jois.eu/?375,en_applying-an-international-capm-to-herding-behaviour-model-for-integrated-stock-marketsherding behaviormarket integrationinternational CAPM |
| spellingShingle | Najmudin Najmudin Diana Hashim Syarif Sugeng Wahyudi Harjum Muharam Applying an international CAPM to herding behaviour model for integrated stock markets Journal of International Studies herding behavior market integration international CAPM |
| title | Applying an international CAPM to herding behaviour model for integrated stock markets |
| title_full | Applying an international CAPM to herding behaviour model for integrated stock markets |
| title_fullStr | Applying an international CAPM to herding behaviour model for integrated stock markets |
| title_full_unstemmed | Applying an international CAPM to herding behaviour model for integrated stock markets |
| title_short | Applying an international CAPM to herding behaviour model for integrated stock markets |
| title_sort | applying an international capm to herding behaviour model for integrated stock markets |
| topic | herding behavior market integration international CAPM |
| url | http://jois.eu/?375,en_applying-an-international-capm-to-herding-behaviour-model-for-integrated-stock-markets |
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