Detecting investor herding behaviours on small medium capitalization company stocks before and after the implementation of broker code and investor type closing policy by Indonesian stock exchange

This research aims to detect the investor herding behavior indications towards Small Medium Capitalization Stocks during several market conditions in particular observation periods which are before COVID-19 pandemic. after COVID-19 pandemic and after PT. Bursa Efek Indonesia / Indonesia Stock Exchange (IDX) started implementing its policy regarding the closing of the broker code and investor type in the secondary market on December 06. 2021. This research measures the dispersion of statistical data of stock returns to detect the herding indications using cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) found by Christie and Huang (1995) and Chang et al. (2000). The research findings shows significant indications of herding behavior before the COVID-19 Pandemic and show a decrease of herding behavior indications after the public announcement of the plan to implement the broker code and investor type closing policy by IDX. These findings insinuate that fewer investors mimicked other investors’ actions; thus. investors tend to be more prudent in making their investments and become more prudent and rational in making investment decisions after the policy is announced to be implemented by IDX.