TESTING FOR HERDING BEHAVIOR OF AFTERMARKET OF IPO (INITIAL PUBLIC OFFERING) IN INDONESIA STOCK EXCHANGE

Abstract

This research is aimed to test the aftermarket IPO herding that listed on Indonesia Stock Exchange. The sample in this research is company that do IPO from year 2006-2015. The test used monthly closing price data using Christie and Huang (1995) method, Cross Sectional Standard Deviation (CSSD) or return dispersion to measure herding behavior. Testing herding tested on two market conditions, namely up market and down market. Where the up market means the stock market (or the main market index) is trading higher than some particular point in the past. Down market conditions mean otherwise. The result of the research shows that there is herding in both market condition, up market and down market which is indicated by the spread of lower return on the market up market and down market.

Keywords: Herding Behavior, Return Dispersion, IPO