ANALISIS PERILAKU HERDING BERDASARKAN TIPE INVESTOR DALAM KEPEMILIKAN SAHAM (Studi Kasus pada Saham LQ-45 Periode Januari 2009-Juni 2014)

This research focusing the herding behavior based on the types of investors in the Indonesian capital market 2009-2014. Knowing the relationship behavior of investors there are few analysis to test the contagion existence, there are: analysis by type of investor herding behavior, measuring the time it takes to transmit the herding behavior of the investors to other investors, to measure how big the impact of the transmission based on the type of investor herding behavior, and knowing how the flow behavior relationships herding across investor type. This research using the method of Vector Autoregression (VAR), the research is investor shares volume by using a sample of companies which listed on the stock index LQ-45 month period January 2009 to June 2014. The reason research using LQ-45 index is the share of liquidity, market capitalization high, has a high-frequency trading. In this VAR Analysis model there are four method that had selected which are: VAR analysis, impulse respond function (IRF), Variance Decomposition, and Granger causality test. The results of VAR analysis shows that the impact of herding behavior that is significantly affected by a fellow investor. The results of the IRF showed a response to the average shock occurred during the first month, variance decomposition results show the impact of the behavior of fellow investors responded only type of investor. While the results of Granger causality show that there is a causal relationship between the type investors of foreign institutional to domestic individual, domestic institutional to foreign institutional, and domestic institutional to domestic individual relationship is going in one direction. The results of the four analyzes can explain the existence of herding behavior in the Indonesian capital market, although the effect only on a fellow investor type.