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, Tahun XI, Nomor 3, September 2007
Journal from JIPTUNMERPP / 2008-10-12 21:32:24
Oleh : Agus Sukarno , Diploma 3 of Finance and Banking Merdeka University Malang (jurkeubank@yahoo.com)
Dibuat : 2007-09-01, dengan file

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

This research was conducted with 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 and 33 loser stocks. This research examined overreaction hypothesis and the effect to size on price reversal in JSX. The result of this research was obtained by using adjusted market model that was done further by one sample test. It showed that overreaction occurred on loser stocks (stocks that experienced large increase from daily stock price), but not on winner stocks (stocks that experienced large increase from daily stock price). Regression analysis indicated that size did not influence the existing loser reversal. However, it was caused by market overreaction. It meant that the phenomena of overreaction showed that market was not efficient since the stock price could be predicted based on the previous stock price. This overreaction was shown y 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 with 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 and 33 loser stocks. This research examined overreaction hypothesis and the effect to size on price reversal in JSX. The result of this research was obtained by using adjusted market model that was done further by one sample test. It showed that overreaction occurred on loser stocks (stocks that experienced large increase from daily stock price), but not on winner stocks (stocks that experienced large increase from daily stock price). Regression analysis indicated that size did not influence the existing loser reversal. However, it was caused by market overreaction. It meant that the phenomena of overreaction showed that market was not efficient since the stock price could be predicted based on the previous stock price. This overreaction was shown y 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.

Copyrights : Copyright (c) 2008 by Digital Library Universitas Merdeka Malang. Verbatim copying and distribution of this entire article is permitted by author in any medium, provided this notice is preserved.

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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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E-mail Administratorperpus@unmer.ac.id
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  • Editor: Wiwik Supriyanti, Dra. SS.