This study attempts to investigate the issue of the existence of
institutional herding in the stock market. The existence is detected in
the intraday trade data from the Indonesia Stock Exchange (IDX) during
up, down, and stable market condition over the period 2003-2005. By
using the model of Lakonishok et al. (1992), it is found that the
intensity of the existence of institutional herding at the IDX, on
average, is 8.4 percent. Institutional investors do not seem to lead
their transactions in a certain characteristic of stock. Most of them
follow positive-feedback trading strategy while others follow
negative-feedback trading strategy. This study also found that the
existence of herd behavior at the IDX did not destabilize the market
price in a subsequent period. [ABSTRACT FROM AUTHOR]