Covid-19 pandemic effect on herding behavior in Indonesian market

The purpose of this paper is to examine the herding behavior in the Indonesian stock market during the Covid-19 pandemic and pre Covid-19 pandemic. Using the samples from all the listed stocks in LQ45 and Kompas100 index, from the period of 01 January 2017 to 31 December 2019 to represent pre Covid-19 period and 01 February 2020 to 30 September 2021 to represent the Covid-19 period. We find that overall, herding behavior only exists in the Indonesian stock market during the Covid-19 period. Furthermore, we explore herding behavior asymmetric properties during up and down market conditions. We find that herding behavior is more pronounced for downside market movement. We also conduct an investigation to herding correlation to net foreign buy or sell transactions in the Indonesian stock market. We find that herding is more pronounced during the times of net foreign sale throughout the Covid-19 pandemic.These results are important for investors to enhance their understanding of stock markets and the financial effects of the Covid-19 pandemic.