Path: Top Journal Jurnal_Keuangan_dan_Perbankan 2007

Reaksi pasar berlebihan dan pengaruh ukuran perusahaan terhadap pembalikan harga saham di Bursa Efek Jakarta

Jurnal Keuangan dan Perbankan, XI, No.3 September 2007
Journal from JIPTUNMERPP / 2015-04-13 03:09:45
Oleh : Agus Sukarno, Diploma 3 of Banking and Finance Merdeka University Malang
Dibuat : 2007-09-01, dengan file

Keyword : Overreaction, winner-loser, size, price revelsal, efficient market, inefficient market

This research was conducted eith the purpose of knowing the behavior of stock price in short period after a large change in the daily stock price in Jakarta Stock Exchange (JSX) in 2004. The research used purposive sampling method and used 11 winner stocks andd 33 loser stocks. This research examined overeaction hypothesis and the effect to size on price reversal in JSX. The result of this research was obtained by using adjused market model that was done further by one sample test. It showed that overreaction occurred on loser stocks (stocks that expirienced large increase from daily stock price). Regression analysis indicate that size did not influence that existing loser reversal. However, it was caused by market overreaction. It meant that the phenomenaof overreaction showed that market was not efficient since the stock price could be predicted based on the previous stock price. This overreaction was shown by the price reversal at t = 3 for loser, which had a large decrease of price at t = 0 in the previous period. This over-reaction phenomenon was the manifestation of inefficient market.

Deskripsi Alternatif :

This research was conducted eith the purpose of knowing the behavior of stock price in short period after a large change in the daily stock price in Jakarta Stock Exchange (JSX) in 2004. The research used purposive sampling method and used 11 winner stocks andd 33 loser stocks. This research examined overeaction hypothesis and the effect to size on price reversal in JSX. The result of this research was obtained by using adjused market model that was done further by one sample test. It showed that overreaction occurred on loser stocks (stocks that expirienced large increase from daily stock price). Regression analysis indicate that size did not influence that existing loser reversal. However, it was caused by market overreaction. It meant that the phenomenaof overreaction showed that market was not efficient since the stock price could be predicted based on the previous stock price. This overreaction was shown by the price reversal at t = 3 for loser, which had a large decrease of price at t = 0 in the previous period. This over-reaction phenomenon was the manifestation of inefficient market.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiD
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
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Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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