This study analyses price impact, herding behaviour, and feedback trading of domestic and foreign investors in Indonesia Stock Exchange (IDX) by employing vector autoregressive models using high-frequency transaction data in the period of 2008 – 2017. We find that domestic investors impact return negatively whereas foreign investors have no impact to return. In terms of herding behavior, domestic and foreign investors herd to themselves strongly. Domestic investors reverse-herd to foreign investors in the short-term (1 day) but no consistent pattern in the opposite direction. Regarding feedback trading, both domestic and foreign investors are contrarian in the big and medium cap portfolios but employ momentum strategy in the small cap portfolio. We also find that, in the crisis period, price impact is more pronounced in terms of economic and statistical significance. On the other hand, evidence of herding behavior and feedback trading decreases in market downturns, although with the same patterns overall.

中文翻译：

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印尼证券交易所国内外投资者的动态：来自10年高频数据的证据

本研究通过使用矢量自回归模型，使用高频交易数据，在2008年至2017年期间，对印尼证券交易所（IDX）的国内外投资者的价格影响，羊群行为和反馈交易进行了分析。我们发现，国内投资者对回报的影响不利的是，外国投资者对回报没有影响。在放牧行为方面，国内外投资者强烈放牧。国内投资者在短期（1天）内向外国投资者反向汇款，但没有相反方向的一致模式。在反馈交易方面，国内外投资者在大盘和中盘投资组合中均处于逆势，但在小盘组合中采用动量策略。我们还发现，在危机时期，从经济和统计意义上讲，价格影响更为明显。另一方面，尽管总体上具有相同的模式，但在市场低迷时期，羊群行为和反馈交易的证据有所减少。