ABSTRACT
The purpose of the study is to examine herding behavior on the Indonesia Stock Exchange in the period 2013–2017. Herding is the investor behavior of following what is done by others in the market. The daily closing price for LQ 45 shares, Development Board Index, and Sectoral Index contributed to the data used in this research. A cross-sectional absolute deviation (CSAD) method was used. This technique was developed by Chang, Cheng,and Khorana (2000), and uses nonlinear regression methods to measure the relationship between the level of equity return dispersions and average market gains. The results did not show any form of herding behavior on the Indonesia Stock Exchange in the 2013–2017 period.
