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All Journal Syntax Literate: Jurnal Ilmiah Indonesia Eduvest - Journal of Universal Studies
Wilopo, Rinaldi
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Aerospace Engineering Humanities Computer Science & IT Education Environmental Science Health Professions Law, Crime, Criminology & Criminal Justice Neuroscience Social Sciences Other

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Analysis of the Presence and Impact of Price Gap Anomaly on the Indonesian Stock Exchange Wilopo, Rinaldi; Ekaputra, Irwan Adi
Eduvest - Journal of Universal Studies Vol. 5 No. 8 (2025): Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v5i8.51416

Abstract

Price gap occurs when the opening price of a financial asset today is greater than the closing price of the previous day, signaling market’s initial sentiment and potential direction of price movement on the trading day. This study aims to explore the presence and characteristics of price gap anomalies and their potential exploitation to generate abnormal returns in the Indonesian stock market. The data used are 11 stock indices in the period 2015-2024 and the analysis is carried out using the multiple linear regression method to test the hypothesis. The results of the study indicate that price gap anomalies are confirmed in the Indonesian stock market, with positive price gaps tending to have more momentum effects than negative price gaps. Price gaps show short-term characteristics, where this anomaly does not affect the period after period of the anomaly. This study also explores the addition of volatility as a control variable in the regression model and finds the accuracy of the regression model by observing the increase in Adjusted R-Squared and Overall F-Test values. Finally, a trading strategy is formed to test the strategy's ability to generate abnormal returns that can beat the market in the Indonesian stock market. However, considering the transaction costs, the overall trading simulation results cannot generate returns that can beat market returns.
Analisis Pengaruh Insider Trading Terhadap Pergerakan Harga Saham pada Indeks Lq45 Bursa Efek Indonesia Wilopo, Rinaldi; Hanggraeni, Dewi
Syntax Literate Jurnal Ilmiah Indonesia
Publisher : Syntax Corporation

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36418/syntax-literate.v10i5.59313

Abstract

Fenomena insider trading yang melibatkan informasi material yang belum tersedia untuk publik dapat menciptakan ketidakseimbangan informasi dan memengaruhi pergerakan harga saham. Namun, efektivitas aktivitas insider trading sebagai sinyal prediktif terhadap return saham di pasar modal Indonesia, khususnya pada saham-saham dalam indeks LQ45, masih belum jelas dan perlu dianalisis lebih lanjut. Penelitian ini bertujuan untuk mengkaji pengaruh aktivitas insider trading terhadap return saham periode berikutnya pada perusahaan konstituen indeks LQ45 di Bursa Efek Indonesia. Metode yang digunakan adalah regresi linier berganda dengan data transaksi insider trading dan return saham bulanan selama Januari 2021 hingga Maret 2025, serta variabel kontrol berupa EPS, PBV, dan return pasar. Hasil analisis menunjukkan bahwa nilai transaksi insider trading tidak berpengaruh signifikan terhadap return saham, sementara volume transaksi insider trading menunjukkan hubungan negatif signifikan dengan return saham ketika kategori insider dipisahkan. Temuan ini mengindikasikan bahwa aktivitas insider trading tidak selalu mencerminkan perubahan fundamental perusahaan, melainkan juga dipengaruhi faktor lain seperti kebutuhan likuiditas. Implikasi penelitian ini adalah perlunya kehati-hatian dalam menafsirkan aktivitas insider trading dan peninjauan kembali regulasi pengawasan insider trading. Penelitian selanjutnya disarankan untuk memisahkan analisis transaksi beli dan jual serta memperluas sampel penelitian.
Co-Authors Hanggraeni, Dewi Irwan Adi Ekaputra