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Kusmayadi, Iwan
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OVERREACTION TERHADAP PENGUMUMAN PELUNCURAN INDEKS DI BURSA EFEK INDONESIA G. A. Sri Oktaryani; Kusmayadi, Iwan; Ahyar, Muhammad; Prihatini, Annisa Cahaya Maharani Lombok
E-Jurnal Ekonomi dan Bisnis Universitas Udayana VOLUME.15.NO.01.TAHUN.2026
Publisher : Fakultas Ekonomi dan Bisnis Universitas Udayana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/EEB.2026.v15.i01.p05

Abstract

Harga saham tidak selalu mencerminkan nilai fundamental perusahaan dan investor seringkali irasional karena dapat dipengaruhi oleh faktor psikologis, emosi dan bias pribadi dalam mengambil keputusan investasi. Penelitian ini merupakan studi peristiwa untuk menguji fenomena overreaction terhadap kandungan informasi terhadap pengumumuman peluncuran indeks di Bursa Efek Indonesia, yaitu IDXESGL, IDXHIDIV20, dan IDXLQ45LCL. Analisis terhadap fenomena overreaction sebagai informasi penting yang dapat membantu investor agar dapat terhindar dari keputusan investasi yang kurang tepat. Penelitian ini menggunakan pendekatan studi peristiwa, dengan menganalisis abnormal return di periode seputar pengumuman (event window), yaitu 5 sampai dengan 10 hari sebelum maupun sesudah hari pengumuman peluncuran dari setiap indeks. Data yang dikumpulkan meliputi harga saham individual yang terdaftar pada masing-masing indeks, indeks harga pasar, dan suku bunga bebas risiko (BI rate) secara terus menerus selama periode estimasi dan event window. Uji variabel menggunakan uji statistik parametrik yaitu one sample t-test dan paired sample test untuk data yang berdistribusi normal, dan uji non-parametrik untuk data yang berdistribusi tidak normal. Hasil penelitian menunjukkan bahwa reaksi pasar bervariasi dalam merespon pengumuman peluncuran indeks baru di Bursa Efek Indonesia, overreaction terjadi pada pengumuman peluncuran indeks ESG Leaders (ESGL) dan LQ45 Low Carbon Leaders (LQ45LCL), dan tidak terjadi pada indeks HIDIV20. Penelitian ini berkontribusi terhadap literatur keuangan dengan menyajikan bukti empiris mengenai keberadaan fenomena overreaction di pasar modal Indonesia, yang mencerminkan karakteristik pasar dengan tingkat efisiensi bentuk lemah.     Stock prices do not always reflect a company's fundamental value, and investors are often irrational due to the influence of psychological factors, emotions, and personal biases in making investment decisions. This study is an event study aimed at examining the phenomenon of overreaction to the informational content of index launch announcements on the Indonesia Stock Exchange, specifically the IDXESGL, IDXHIDIV20, and IDXLQ45LCL. The analysis of overreaction is considered important information that can help investors avoid making poor investment decisions. This research employs an event study approach by analyzing abnormal returns during the period surrounding the announcements (event window) specifically, 5 to 10 days before and after the event date of each index launch. The data collected include individual stock prices listed in each respective index, the overall market index, and the risk-free interest rate (BI rate), continuously observed during the estimation period and the event window. Statistical testing of variables uses parametric tests such as the one-sample t-test and paired sample t-test for normally distributed data, and non-parametric tests for non-normally distributed data. The results show that market reactions vary in response to the launch announcements of new indices on the Indonesia Stock Exchange, Overreaction was observed in the announcements of the ESG Leaders (IDXESGL) and LQ45 Low Carbon Leaders (IDXLQ45LCL) indices, but not in the HIDIV20 index. This research contributes to the financial literature by providing empirical evidence of overreaction in Indonesia capital market which reflects the characteristics of the weak-form market efficiency.  
Co-Authors Abdurahman Abdurrahman Affandi, Aryo Juliansyah Agustiani, Eka Ahyar, Muhammad Apriadi, Apriadi Astrilia, Herfiana Athar, Handry Sudiarta Bagis, Abdul Azis Burhanuddin Burhanuddin Cahyarani, Ni Putu Eka Nadya Denik Tirtaningrum, I Dewa Ayu G. A. Sri Oktaryani G. A. Sri Oktaryani Hammad, Rifqi Haris Al Farizi, Abdul Herman, Lalu Edy Himawan Sutanto, Himawan Iwan Kusuma Negara Kurnia, Juan Mahendra, Heru Mohammad Najib Roodhi Muhammad Mujahid Dakwah Mukmin Suryatni, Mukmin Nabila, Nabila Nurmayanti, Siti Prihatini, Annisa Cahaya Maharani Lombok Santy Nururly Suprayetno, Djoko Wardani, Laila Zainal Abidin Zamroni Alpian Muhtarom Zefanya Andryan Girsang