Abstract:

This research aims to examine the existence herding behavior in BRICS countries (Brazil, Russia, India, China, and South Africa) stocks market and asymmetric herding behavior in 1997-2017 by using daily data of the stocks price. This research also aims to help the investors to know the potential risk in each BRICS countries as their reference to do the investment decisions. By using the CSAD method, the results shows that there is an existence of herding behavior in all period and asymmetrically in India, China, and South Africa and mixed evidence in Brazil and Russia. Herding behavior occurs when the level of market return in positive and negative implies that the investors tend to respond to the gain than facing the loss, that is why the investors tend to mimic other investors to save their value of the portfolio. When herding behavior occurs in high level of volatility, it implies that the level of uncertainty in the countries are high. Therefore they tend to observe the market movement and mimic others. Herding behavior occurs in low level of volatility implies that there is insufficient information in the market, so the investors ignore their prior knowledge and tend to observe the big market movement as the references to their investment decisions.