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"ABSTRAKPenelitian ini bertujuan untuk mengetahui adanya perilaku herding di dalam pasar saham Indonesia dan Singapura, bentuk perilaku herding asimetris dan herding spillover diantara pasar saham kedua negara. Penelitian ini menggunakan metode CCK untuk menguji eksistensi perilaku herding. Untuk menguji bentuk asimetris herding, penelitian ini menguji pada berdasarkan tiga kondisi pasar yang berbeda, yakni berdasarkan return, volume perdagangan dan volatilitas pasar. Dengan menggunakan data harian populasi saham di pasar saham Indonesia dan Singapura pada periode 1996-2015, peneliti menemukan bukti bahwa terdapat perilaku herding di Indonesia dan Singapura. Peneliti juga menemukan adanya bentuk herding asimetris berdasarkan volume perdagangan dan volatilitas pasar. Tidak terdapat herding spillover baik dari pasar saham Indonesia kepada Singapura, maupun dari pasar saham Singapura kepada Indonesia.

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ABSTRACTThis research aims to examine the existence of herding behavior in Indonesia and Singapore stock markets, asymetric herding behavior and herding spillover between the two countries. This research uses CCK method to test the existence of herding behavior. To test the asymmetrical shape herding, researcher examine on the basis of three different market conditions, which are based on the market return, trading volume, and volatility. By using daily data of the stock population in Indonesia and Singapore stock exchange on the period of 1996-2015, researcher found evidences of herding behavior in Indonesia and Singapore. Researches also found an asymmetrical herding by trading volume and market volatility. There are no herding spillover both from the Indonesia to Singapore stock market and from Singapore to Indonesia stock market.;"

"This paper examines market efficiency of foreign exchange markets in South East Asia (Indonesia,Thailand, Malaysia, Singapore, and Philippines) after the global crisis period 2008. The time spancovered by the samples are from 2009 to 2014, with the total number of observations for spot and forwardexchange rate data amounting to 1565 data points. This study uses three different approachesto examine efficiency within countries and across countries. The result of this study shows that foreignexchange markets in the ASEAN-5 countries are efficient within countries, but have not been efficientacross countries, especially when the country has a bivariate relationship with Thailand’s foreignexchange market. The main implication of this study is that investors in the ASEAN-5 market cannotobtain abnormal returns using technical analysis on within countries foreign exchange market. Inaddition, there is no significant differences for participants in the foreign exchange market whetherthey are using hedging or not hedging."