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Herly Hadimas
Universitas Bengkulu
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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OVERREACTION ANOMALY DI PASAR MODAL INDONESIA (STUDI PADA SAHAM-SAHAM LQ-45 TAHUN 2014-2018) Herly Hadimas
Jurnal Ilmiah Ekonomi Bisnis Vol 24, No 1 (2019)
Publisher : Universitas Gunadarma

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (570.533 KB) | DOI: 10.35760/eb.2019.v24i1.1857

Abstract

This study aims to analyze whether market overreaction symptoms occur in Indonesia Stock Exchange, specifically on the LQ-45 Index from 2014 to 2018. This research was separated over 6 and 12 months. The sample was consistent stocks of LQ-45 index companies period 2014 to 2018, it is determined by purposive sampling method. Stocks were classified into two portfolios based on the value of Cumulative Abnormal Return (CAR). Winner portfolio was 3 stocks with the highest value of CAR, and loser portofolio was 3 stocks with the lowest value of CAR. Market overreaction is measured by Average Cumulative Abnormal Return (ACAR) loser portfolio outperformed of winner portfolio ACAR. As a result, the research found that overreaction indications were evidence, but no significance statistically. The result absence of market overreaction symptoms on the Indonesia Stock Exchange showed that the contrarian investment strategy was inappropriate to use, especially on LQ-45 index stocks.
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