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Journal : IJEBA (International Journal of Economic, Business

COMPARATIVE ANALYSIS OF MARKET OVERREACTION IN INDONESIA AND SINGAPORE STOCK EXCHANGE 2016-2019 Meiliani, Mutia; Puspita, Dian; Tarigan, Milda Aprilina; Fathoni, Ahmad Fauzan
International Journal of Economic, Business & Applications Vol. 6 No. 2 (2021): International Journal of Economic, Business and Applications
Publisher : Program Pascasarjana, Universitas Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31258/ijeba.63

Abstract

This study aims to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange which is classified as an emerging market and the Singapore Stock Exchange which is classified as a developed market. This research was conducted in a weekly period during 2016-2019. This study uses sample included in the LQ-45 index for the Indonesia Stock Exchange and the top 30 market cap for the Singapore Stock Exchange. This research found that there was a market overreaction in the Indonesia Stock Exchange, especially the loser portofolio which experienced the strongest reversal. Meanwhile, the significance value in the one sample t-test for the average cumulative abnormal return difference value is not significance. While the results of research on the Singapore Stock Exchange found no market overreaction phenomenon as indicated by a negative and insignificance average cumulative abnormal return difference. The result showed that the Indonesia Stock Exchange has not been efficient where investors tend to overreact in responding to information while investors on the Singapore Stock Exchange are rational.
Co-Authors Abdullah, Dessy Adelin, Prima Adi Prasetia Nanda Afriyanti Agung purnomo Ahmad Fauzan Fathoni Ahmad, Syukron Aini, Afifah Nuril Akbar, Resti Rahmadika Alexsander, Gilbert Amelda Indra Triana Andoyo, Andreas Andreas Andoyo Andriyani Ermica Sari Anggi Trio Meisya Anggraini, Sri Hastini Arica Pavitasari Astuti, Sariyah Astuti, Sariyah Astuti, Sariyah Budi Usmanto Citra Dewi Debie Anggraini Dewi Fadilasari Dewi, Ayu Ramadhani Kumala Dhuha, Alief Donny Citra Lesmana Eka Yuliana Eko Hendrawan Erlin -, Erlin Erliza Septia Nagara Ermawati, Liya Fajar Pangestu, Fajar Fathin Hamida Fidiariani Sjaaf H.B, Bambang E Haiga, Yuri Hamama Pitra, Dian Ayu Hanif Hanif Haryani , Fitria Helmizar, Roland Heru Purnomo I Gusti Putu Purnaba Indriana Mukti Indriyani Islam Mahdi Islam Mahdi, Muhammad Jupon, Rara Marselina Kris Tri Basuki Kristina, Marilin Kurnia Wulandari Laura Zeffira Leni Anggraeni Leni Anggraeni liana, nana Linda, Vitoria Lubis, Elektina M. Syaikhan Azzamul Khair Mahatma, Gangga Marselina Jupon, Rara Mar’atus Sholihah Meiliani, Mutia Melya Susanti Mhd Nurhuda Mislinawati Mislinawati Mislinawati, Mislinawati Miswan Gumanti Muhamad Muslihudin Nabila Nur Anisah Nahzia Septia Fondri Nani Jelmila, Sri Nilas Warlem Ningrum, Ajeng Amelia Novi Ayu Kristina Dewi Novita Andriyani Nurazizah, Hizba Nurhuda, Mhd Nurimaniwathy, Nurimaniwathy Nurlela Nurlela Nurlela Paisah Permatasari, Berlintina Pramudi, Agung Pramudi, Agung Prasetia Nanda, Adi Prasetyo, Langgeng Prasetyo Pratama, Abdullah Reza Priyono Priyono Priyono Puspita PA, Tri Puspita PA Putra, Aditya Erlangga Putri, Nia Rahmadhoni, Berry Rahsel , Yoeyong Rahsel, Yoeyong Rahsel, Yoeyong Rara Marselina Jupon Rika Amran Rina Wati Riski Istiani Rizal Aditya Rifaii Romi Ramkita Ruhsyahadati Salsabila Az-Zahra Sandria Santia Wulan Sari Saputro, Isnu Aji Sari, Elsa Puspita Sari, Lovea Ajeng Sari, Widia Sariyah Astuti Septia Nagara, Erliza Sherly, Ulfa Siana, Yusti Siti Mukodimah Siti Rahmi, Nur Haji Sjaaf, Fidiariani Sofiyati, noor Sri Hartati Sri Nani Jelmila Sudewi Sudewi Sugiman . Sulistiana, Devita Suprayogi Suprayogi Syafriana, Vilya Tarigan, Milda Aprilina Taufik Taufik Taufik Tri Septiana, Vina Tri Susilowati Tri Yana, Rahma Tri Yuni Hendrowati Tri Yuni Hendrowati Trijayanti, Ery Trisnawati Trisnawati Triyana, Rahma V. Nanda, Elsa Valencia Nanda Luckyta Vani, Ade Teti Vera Nanda, Elsa Vitoria Linda Vritta Amroini Wahyudi Wasbiru, Annita Winia Waziana Wulandari , Wulandari Wulandari Wulandari Yuliza Birman Yuni Handayani Yuri Fitrian Yusti Siana Zulkarnaini, Aryaldy