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All Journal ETIKONOMI Kinerja JEJAK SELAPARANG: Jurnal Pengabdian Masyarakat Berkemajuan Jurnal Akuntansi Jurnal ABDINUS : Jurnal Pengabdian Nusantara Jurnal Ekonomi dan Manajemen Cita Ekonomika: Jurnal Ilmu Ekonomi Prima Abdika: Jurnal Pengabdian Masyarakat Jurnal Inovasi Penelitian dan Pengabdian Masyarakat
Kusumahadi, Teresia Angelia
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Agriculture, Biological Sciences & Forestry Arts Humanities Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Engineering Environmental Science Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Medicine & Pharmacology Nursing Public Health Social Sciences Other

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DO VOLATILITY AND PRICE DECLINE MATTER? EVIDENCE FROM FALLING KNIVES IN INDONESIA USING LOGISTIC REGRESSION Kusumahadi, Teresia Angelia; Madyakusumawati, Synthia
Jurnal Akuntansi Vol 20 No 1 (2026): Jurnal Akuntansi
Publisher : Universitas Katolik Indonesia Atma Jaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25170/jak.v20i1.7688

Abstract

This research examines the recovery probability of stocks experiencing sharp price declines or falling knives from 2010 to 2020 in Indonesia. Using data from Indonesia Stock Exchanges, this study identified 194 falling knife observations and evaluated whether the stocks could provide positive returns within three years after the price drop.The analysis uses logistic regression with a bootstrapping approach, focusing on price-based determinants, namely, the magnitude of price decline and return volatility. The results indicate that volatility has a negative impact on the probability of stock recovery. The higher the volatility of a stock, the lower the likelihood that it will return to its pre-decline price. In contrast, the magnitude of the price decline is not statistically associated with recover probability. Furthermore, only 22.7% of falling knives consistently yield positive returns over the three-year period. These findings indicate the small number of stocks that recover after a sharp decline. These findings also emphasize the importance of volatility as a key factor in assessing stock recovery probability.
Co-Authors Adji Pratikto Angellita Pereira, Patricia Karnadi*(1), Erwin Bramana Madyakusumawati, Synthia Permana, Fikri C Prawesti, Regina Wintang Ruli, Ansgarius Davin Sitanggang, Marsiana Luciana Siti Saadah Utami, Novia