PERILAKU OVERREACTION JANGKA PANJANG DI PASAR MODAL BERKEMBANG STUDI EMPIRIS PADA BURSA EFEK INDONESIA
| Main Authors: | , Anita Prawitasari, , Prof. Dr. Marwan Asri, MBA., Ph.D |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2013
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/119368/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=59365 |
Daftar Isi:
- Facts in a variety of researches in the field of capital markets and the behavioral finance state that there are some deviations which affect the stock price. Such deviations are the implications of the phenomenon of overreaction. Overreaction is defined as an overreaction concerning the response to the emergence of new information. Overreaction concept has also been introduced in an investment strategy called contrarian strategy. This strategy is a strategy that allows investors to buy loser stocks and sell winner stocks, so that investors can earn abnormal returns. This study was aimed to: 1) test the overreaction of investors in the period in which company event is informed by the company which consists of the information acquisition of shares by institutional investors, 2) test the overreaction of investors in the period when market events occurs, which is the information of the announcement of an increase of Indonesia's rating into Investment Grade, 3) test whether the contrarian strategy is able to produce a positive abnormal return. Sample selection was carried out by using purposive sampling method. The criteria used as the basis for this study sample were: 1) Shares which were used as samples were company�s stocks listed on the Stock Exchange with a longterm observation period, namely the observation period 2009-2011, and 2) These shares did not experience any delisting during the period of observation. The data used in this study were window 36-long weekly stock price data for the company event and 30 for market events. The data testing was conducted by using the One Sample T-Test to see the movement of stock prices around the week of the event. Independent Samples T-Test was used to see whether overreaction occurred as the result of the event by comparing the abnormal returns of both winner and loser stocks during the testing and the formation period. Independent Samples T-Test was applied to test the contrarian strategy in order to see the comparison between the winner and loser stocks in the testing period. The results of this study indicated that there was an overreaction caused by the information of the company event as well as the market events. The results of the analysis also showed that the contrarian strategy was able to produce a positive return that came from the changes in the value of abnormal return which was demonstrated by stock loser that had a negative abnormal return value in the formation period and turned its direction into a positive in the testing period.