JURNAL
Riset Akuntansi dan Keuangan Indonesia URL : http://journals.
id/index.
php/reaksi/index DO FIRM VALUE AND INSTITUTIONAL
INVESTORS AFFECT ON HERDING
BEHAVIOR?
Fenny Marietza*.
Salsabila Tifani Ayuningsih Department of Accounting.
Faculty of Economics and Business.
University of Bengkulu *Mari3tza@gmail.
Keywords:
Herding Behavior.
Firm Value.
Institutional Investors.
LQ45 Companies ABSTRACT This research aims to determine the effect of firm value and institutional investors on herding behavior.
The newnes of this research to add an indicator that have never been used for herding measurement to firm value.
The existence of previous research result on herding that have not been conclusive raise empirical gaps and population gaps that are worthy of re-study.
The measurement of firm value is carried out using the Book to Market Ratio and Firm Size.
The size of institutional investors uses the companyAos institutional ownership, and the measurement of herding behavior uses the Cross-Sectional Absolute Deviation (CSAD) method.
The sample in this study are LQ45.
The data analysis method used in this study was carried out with multiple regression The study results show that there is indication of the occurrence of Herding Behavior in LQ45 companies in sample.
Firm Value and institutional investors do not influence Herding Behavior.
p-ISSN:1411-6510 e-ISSN :2541-6111 JURNAL Riset Akuntansi dan Keuangan Indonesia
INTRODUCTION
The rapid development of the Indonesian capital market shows that investment in Indonesia is growing and in demand.
According to the Decree of the Minister of Finance of the Republic of Indonesia Number 1548/kmk/1990 concerning Capital Market Regulations, which is meant by: AuAn organized financial system, including commercial banks and all financial intermediaries, as well as all securities in circulation.
Ay The capital market can be an alternative investment.
According to data from the Indonesian Central Securities Depository, the number of investors in Indonesia in 2019-2020 615 million registered investors.
This number is an increase of 45.
51 percent compared to the end of 2019.
There are 2.
484 million investors.
In this case, it can be seen that there is an increase in capital market interest in investing.
In determining his decision in investing can beinfluenced by several factors.
Changes in the actions of investorsAo decisions can be influenced by psychological factors that can change the decisions taken by investors that can be called financial behavior.
The tendency of investor behavior to follow the actions of other investors can be called a herding .
Factors causing the occurrence of herding The existence of Firm Value in .
Institutional investors also have a role in the occurrence of herding behavior shown in .
The herding behavior generated by rational investors because the processing of information can be based on fundamental and non-fundamental factors Based on the basic information or value of the same company assessed by the investor, investors make homogeneous trading decisions according to the fundamentals of the company.
measured by the ratio of Book to Market and Firm size.
Firm value is an important aspect in the occurrence of Herding Behavior.
The value of the company as an investorAos view of a company with certain conditions of the results achieved by the company in a process of cell activityama several years .
Theherding p erilaku caused by rational investors due to information processing can be based on fundamental and nonfundamental factors .
Based on the same basic information or Firm Value assessed by investors, investors make Vol.
7 No.
3 Desember 2022 homogeneous trading decisions in accordance with the fundamentals of the company.
Previous research stated that the Firm Value indicator affects herding In this study, the value of the company was measured by the ratio of Book to Market and Firm size.
In addition to the Firm Value, the role of institutional investors can also trigger inappropriate This becomes even more important because large investors .
nstitutional investor.
are dominating the market.
The performance of institutional investors is measured by looking at the performance of other institutional investors and they also base their investment decisions on the trading decisions of professional market participants .
US.
Hong Kong.
Japan.
South Korea, and Taiwan.
This study focuses on the value of companies and institutional investors to detect herding behavior dueto empirical gaps and population gaps in previous studies, this study wants to prove the Firm Value and institutional investor values on herding behavior.
LITERATURE REVIEW AND HYPOTHESIS
DEVELOPMENT
Literature Review Prospect Theory Prospect theory defines the theory when a person will look for sources of information and will then make some decision concepts indecision making .
Prospect theory suggests that a different reaction occurs in each individual between potential losses and gains.
If a person is in a profit position, the character has a tendency to stay away from risks, while in a loss position, the character has a tendency to dare to take risks.
The relevance between prospect theory and this research is that in this study the prospect theory is able to explain the risk preferences of the value of companies and institutional investors that can influence investment decisions that can affect herding behavior when they believe that herding behavior can help them to obtain useful and reliable information.
Herding Behavior Herding Behavior steered a group of investors in the same direction of yang in the same period .
Herding Behavior as a psychological condition Fenny Marietza.
Salsabila Tifani Ayuningsih Vol.
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3 Desember 2022 JURNAL Riset Akuntansi dan Keuangan Indonesia when investors ignore their personal beliefs and assumeitAos beliefs of the other .
There are several ways to measure Herding behavior.
However, for the approach in looking at herding behavior, the researcher uses measurements from .
US.
Hong Kong.
Japan.
South Korea, and Taiwan, as the inventors of the Cross Sectional Absolute Deviation (CSAD) method to detect herding, there is a relationship between Cross Sectional Absolute Deviation (CSAD) and the market variable squared.
(RM.
Firm Value Firm Value is defined as a special condition that has been achieved by a company as an illustration of public trust in the company after running a process of activity for several years from the beginning of the companyAos establishment to the present.
ThecompanyAos value in this study was measured by the ratio of BTM and Firm Size.
The Book to Market ratio compares the book value per share and the market value of the stock .
Book to market ratio is a ratio that is often used in analyzing the amount of profit from stocks.
Firm Size is a ratio that can reflect the levelof success of a company .
Firm Size can be measured Firm Size can be measured by the companyAos total assets or significant assets by using the calculation of the logarithmic value of the total assets.
The large Firm Size reflects that the company is experiencing and the growth of yang is good for increasing the value of the company.
Institutional investors Institutional investors are people who have institutional ownership.
institutional ownership isa percentage of shares owned by institutions .
Institutional share ownership can be owned by mutual funds, corporations, securities companies, pension funds, insurance companies, institutions.
Institutional investors are measured by the percentage proportion of shares that institutions own at the end of the year.
Hypothesis Development Some studies detect herding behavior on stock exchanges in different countries.
Herding behavior during the monetary crisis.
In .
says that there is herding behavior in the Romanian In .
show the presence of herding Do Firm Value.
p-ISSN:1411-6510 e-ISSN :2541-6111 behavior on the Chinese stock exchange.
In .
, .
In .
also found the same thing with herding behavior in the results of their study.
On the other hand, .
showed that there was no herding behavior in the Indonesian and Singaporean stock markets.
The results of this study are in line with research by .
, which states that there was no herding behavior on the Indonesian stock exchange during the research Based on the results of previous studies, the hypothesis of this study is as follows:
H1: There are indications of herding on the Indonesia Stock Exchange Several studies have tested the effect of Firm Values on herding behaviorwith various variables.
This study measures the value of the company with Firm Size and book to market ratio.
Several studies have shown a relationship between these variables and herding behavior.
In .
show that past measures and returns correlate positively with herding behavior, but the ratio of book to market and market beta is negatively related.
In .
showed that herding behavior is positively correlated with market capitalization.
BTM, stock returns, and company liquidity.
Volatility of size trading volume has a positive effect on herding behavior, and returns negatively affect herding behavior .
Size has no effect on herding behavior.
However, for eps variables.
BTM.
Volatility has a positive effect on herding behavior .
herding behavior correlates positively with company size,sales herding is positively influenced by a larger Book to Market Ratio .
From the results of the previous research above, the hypothesis of this study is as follows:
H2.
a: Book to Market Ratio positively affects Herding behavior H2.
b: Firm Size has a positive effect on Herding Behavior Several previous studies have examined the influence of institutional investors on herding Hanafi .
says that there is herding behavior among institutional investors.
Foreign institutional investors mitigate the January effect, but domestic institutions exacerbate it in Taiwan .
Institutional investors engage in herding behavior because they infer information from trading with each other .
Significant relationship p-ISSN:1411-6510 e-ISSN :2541-6111 JURNAL Riset Akuntansi dan Keuangan Indonesia between institutional investors and herding behavior in mutual fund investment in Romania .
Research by .
states that the rate of sellherding varies according to changes in institutional .
states that herding behavior between institutional investors and correlated signals of fundamental information drives this.
Based on the results of previous studies that have been described above, the hypotheses made are as follows:
H3: Institutional investors positively affect herding RESEARCH METHODS Types of Research.
This type of research is quantitative research.
Quantitative research is a type of research based on concrete data in the form of numbers measured by usingcertain statistical test tools .
This research analyzes the influence of the value of companies and institutional investors on herding behavior Population and Research Samples.
The population and research sample are LQ45 companies listed on the Indonesia Stock Exchange m, t for the 2019-2020 period.
The purposive method is used in the selection of research samples.
The method used is purposive.
sampling that has certain properties and characteristics.
The features of this sample are as follows:
Companies listed on the Indonesia Stock Exchange and their shares are consistently listed in the LQ-45 index for the 2019-2020 The company has completed data research during that time 2019-2020.
Data Collection Methods.
This study used secondary data from companies indexed in the LQ-45 Indonesia Stock Exchange.
The data used are financial statements, stock prices.
JCI.
The research period starts from quarter 1 of 2019 Ae quarter 4 of 2020 or lasts for 2 years.
The data is obtained from the official website of the Indonesia Stock Exchange, w.
IDX.
id Investment sites, com and official websites of each company registered with LQ45.
Vol.
7 No.
3 Desember 2022 behavior, what is measured is the relationship of Cross-Sectional Absolute Deviation (CSAD) with the variable squared market return (RM.
If there is an indication of herding behavior, then the relationship between the squared market return (RM.
and the dispersion value (CSAD) is non-linear and significantly negative (_2 < .
The variables used in this study refer to the Crosectional Absolute Deviation (CSAD) method of .
US.
Hong Kong.
Japan.
South Korea, and Taiwan, namely an independent variable (Variable X) consisting of absolute market return (| Rm,.
) and the squared market return (RM.
, and the bound variable .
ariable Y) in this study is the dispersion value of the stock return or cross-sectional value Absolute market return (| Rm, .
) is the absolute value of the difference between the prices listed in the composite stock price index at theend of the period and the beginning of the period.
Absolute market return (|Rm, .
) can be measured using the following measurements:
Market Return Square (RM.
is the squared value for the difference between the prices listed in the composite stock price index at the end of the period and the beginning of the period.
(RM.
can be measured using the following measurements:
Dispersion Value (CSAD) is a value for measuring how far the return difference of an individual asset is when compared to the average market return.
Thus, to find the value of stock return dispersion (CSAD) it is necessary to return individual stocks and market returns that can be measured by the following measurements:
Operational Definitions and Variable Definitions.
Herding Behavior The bound variable in this study is herding Fenny Marietza.
Salsabila Tifani Ayuningsih Vol.
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3 Desember 2022 After obtaining individual stock returns and market returns, the dispersion value of stock returns (CSAD) can be measured by the following Firm Values In this study.
Firm Value was measured by Book to Market ratio and Firm Size Book to Market ratio = Book Value Equity Equity Market Value Firm Size= Ln (Total Aktiv.
p-ISSN:1411-6510 e-ISSN :2541-6111 JURNAL Riset Akuntansi dan Keuangan Indonesia Information:
CSAD = Cross Sectional Absolute Deviation = Constant
= Regression coefficient of each independent Rm = Market price in period = Firm Size
BTM = Book to Market Ratio
= Institutional Ownership
= Error element
RESULTS OF RESEARCH AND DISCUSSION
Descriptive statistics Descriptive statistics in this study used minimum, maximum, mean and standard deviation values for all research variables.
This data analysis method is used in describing the object under study with the population and research sample.
Institutional investors Institutional investors are measured by institutional ownership, which is the percentage of the number of outstanding shares held by institutional investors at the end of the year .
Institutional Investor Calculations can use measurements using the following formula:
Table 1.
Descriptive Statistical Results Variable Minimum Maximum
Mean
0,004975
0,00002
0,071447
29,51278
0,005422
0,022590
0,568995
INSWN = Number of institutional shares / Number
of shares outstanding x 100% CSAD
ABSRM
RM2
BTM
Which Valid N .
ased on Normality Test Data Analysis Methods The study variables were tested using multiple linear regression analysis with the eviews-9 Data analysis methods in this study include descriptive statistical analysis, classical assumption test and hypothesis test.
consists of an F significance test, a coefficient of determination test, and a t test.
In this study using multiple linear regression analysis, with the following equation:
CSADt= 1 |Rm.
2 (R.
2 At Do Firm Value.
0,925000
Std.
Deviation 0,049793 0,037249 Table 2.
Normality Test
Model
Jarque-Bera
Significance Test
Model 1
Model 2
0,053227
Data is normal
0,099616
Data is normal Table 3 above shows the observation period from January 2019 to December 2020.
Nis the probability of statistical models JB 1 and 2 greater than the significance level of 0.
05, then the assumption of normality is met, or the data are normally distributed.
p-ISSN:1411-6510 e-ISSN :2541-6111 Vol.
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3 Desember 2022 JURNAL Riset Akuntansi dan Keuangan Indonesia Multicholinearity Test Table 3.
Multicholinearity Test
ABSRM
RM2
RM2BTM
RM2FS
RM2KI
ABSRM
RM2
RM2BTM
RM2FS
000 0,935069
0,935069 1.
000 0,529051
506230 0,529051 1.
0,755366 0,769934
0,626042
Source: Data processed using Eviews-9 Table 3 above shows that the value of R2 for all variables < 0.
This is in accordance with the test criteria that the results of the multicholinearity test do not have a correlation coefficient value between variables (R.
which is more than 0.
it can be concluded that the data have no multicholinearity problems in the regression model in this study.
Autocorrelation Test Autocorrelation testing on non-time series data, both cross section data and panel data, will only be useless .
This is because, especially in the data panel, although there is time series data, it is not a pure time series .
Therefore, the autocorrelation test was not carried out in this so, in this study it is assumed that for certain free variables no autocorrelation occurs.
Heteroskedasticity Test The Heteroskedasticity test aims to determine whether in a regression model there are differences in variancefrom oneresidual difference to another .
In this study, for models 1 and 2, there is no need to test heteroskedasticity because this model is a REM (Random Effect Mode.
The REM model uses the Generalized Least Squares (GLS) estimation method.
The GLS approach is useful for treating symptoms of heteroskedasticity.
So, the REM model is free from the symptoms of Based on Table 4 on models 1 and 2, it can be seen that this F test produces F values of 137.
29658 with significance values of 0.
00000, the Sig value < 0.
05 then it can be concluded that model 1 and fit so that all variables simultaneously affect the dependent variables.
Coefficient of Determination Test Result (R.
Table 5.
Coefficient of Determination Test Results Model
Adjusted R
Square Coefficient of Determination Model 1
0,609112
60,91%
Model 2
62,88%
Table 5 in model 1 shows that the adjusted R square value of the independent variable in the study was 0.
609112 or 60.
This value can be interpreted to mean that the market return variable explains the CSAD of 60.
91%, the remaining 09% is influenced by other factors.
in model 2 showed that the adjusted R value of the independent variable square in this study was 0.
628831 or This value means that the CSAD variable is able to explain the relationship between variations in Firm Value (BTM and Company Siz.
and Institutional Ownership of 62.
88%, the remaining 12% is influenced by other factors.
Statistical Test T Test Results for Hypothesis 1 Significance Model Test (F Tes.
Table 7.
T Test Results for Hypothesis1 Table 4.
Test Results Sinifikansi F
Model
Significant Explanation Model 1
0,000000
Fit Regression Model
Model 2
0,000000
Fit Regression Model
RM2KI
0,755366
0,769934
0,626042
Variable Coefficient T-Statistics Significant ABSRM
0,0000
RM2
0,000
Result H1 accepted Fenny Marietza.
Salsabila Tifani Ayuningsih Vol.
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3 Desember 2022 JURNAL Riset Akuntansi dan Keuangan Indonesia Based on table 7, in model 1 the rm2 coefficient value is -5.
105342, and the p-value is smaller than 05 which means that there are indications of herding behavior on the Indonesia Stock Exchange during 2019 to 2020.
It can be concluded that H1 is T Test Results for Hypotheses 2 and 3 Table 8.
T Test Results for Hypotheses 2 and 3 Variable Coefficient T-Statistics Problem.
Result
RM2BTM
-0,073179
0,0989
H2a Rejected RM2FS
0,014382
0,0621
H2b Rejected RM2KI
-0,0888
0,9293
H3 Rejected Hypothesis testing 2 aims to test whether the companyAos value (BTM and Firm Siz.
has a positive effect on herding behavior.
Table 8 shows the coefficient of interaction of market return and BTM (RM2BTM) is -0.
073179 and p-value is 0.
-value e> 0.
The value of the coefficient of interaction of the square of market return and Firm Size (RM2FS) is 0.
014382 and the p-value is 0.
-value > 0.
The results of hypothesis testing show that the value of the company (BTM and Firm Siz.
h has no effect on herding behavior.
So, it can be concluded that H2 a, b is rejected Hypothesis testing 3 aims to test whether institutional investors have a positive effect on herding behavior.
The value of the coefficient of interaction of market return and Institutional Ownership (RM2KI) is -0.
029778 and the p-value 9293 .
-value > 0.
The results of hypothesis testing show that Institutional Investors have no effect on herding behavior.
So, it can be concluded that H3 is rejected.
DISCUSSION