Reaksi Pasar Yang Berlebihan Pada Harga Saham Manufaktur Di Bursa Efek Indonesia

Putri, Jasmine Atika (2010) Reaksi Pasar Yang Berlebihan Pada Harga Saham Manufaktur Di Bursa Efek Indonesia. S1 thesis, STIE Indonesia Banking School.

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Abstract

Overreaction hypothesis is one of deviation which happened in Indonesia capital market. The implication means that investors consist of irrational and emotional minded people. Investors have inclined overreact to response news information, neither good news or bad news. The new research which related to behavioral stock price found that securities have positive (negative) abnormal return in formation period will have negative (positive) abnormal return in subsequent test period. This research examines the overreaction hypothesis in manufacturing company at Indonesia Stock Exchange (IDX) using monthly closing price and the period between 2004 to 2008. Samples obtained by using market adjusted model. The result of this research by using paired sample t-test shows the overreaction phenomenon, in which the stocks those are previously be the winner stocks, now become the loser ones in subsequent test period. Implication on the efficient market hypothesis is that the phenomena of overreaction shows that market is not efficient (especially Indonesia Stock Exchange). Keywords : Overreaction, Loser-Winner, Indonesia Stock Exchange.

Item Type: Thesis (S1)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: KODEPRODI61201#Manajemen
Depositing User: Mrs. Deli Apsa
Date Deposited: 04 Nov 2020 03:13
Last Modified: 04 Nov 2020 03:13
URI: http://repository.ibs.ac.id/id/eprint/1669

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