OVERREACTION ANALYSIS: THE EXISTENCE OF WINNER-LOSER ANOMALIES IN LQ45 STOCKS

ADE SUMARISTYA PUTRA, Prof. Eduardus Tandelilin, MBA.

2021 | Tesis | Magister Manajemen

Abstrak Tujuan penelitian ini adalah untuk membahas anomali overreaction di Bursa Efek Indonesia khususnya terhadap 31 saham yang tercatat di LQ45 selama periode 2017-2019. Adanya market overreaction ditandai dengan pembalikan harga antara saham winner dan loser yang terlihat dari nilai Average Cumulative Abnormal Return (ACAR) portofolio saham. Metode yang digunakan dalam penelitian ini adalah metode komparatif antara portfolio winner dan loser. Masa penelitian dibagi menjadi 2 yaitu 6 bulan observasi dan 1 tahun observasi. 31 Sampel yang dipilih dalam penelitian ini akan dikelompokkan berdasarkan nilai Cumulative Abnormal Return (CAR) saham menjadi dua portofolio. Portofolio saham pemenang terdiri dari 10 saham dengan CAR tertinggi, sedangkan portfolio saham loser terdiri dari 10 saham dengan CAR terendah. Studi ini menemukan beberapa gejala yang dibesar-besarkan tetapi tidak signifikan secara statistik. Hasil penelitian menunjukkan bahwa Bursa Efek Indonesia efisien dalam bentuk yang lemah, sehingga penerapan strategi kontrarian diharapkan dapat merugikan segmen pasar ini.

Abstract The purpose of study is to discuss the overreaction anomalies on the Indonesia Stock Exchange in particular to 31 stocks listed in LQ45 during the 2017-2019 period. The existence of market overreaction is marked by a reversal of prices between winner stocks and loser stocks, which can be seen from the value of the Average Cumulative Abnormal Return (ACAR) of the stock portfolio. The method used in this research is a comparative method between winner and loser portfolios. The study period was divided into 2, namely 6 months observation and 1-year observation. 31 The sample selected in this study will be grouped based on the value of the Cumulative Abnormal Return (CAR) of shares into two portfolios. The winner's stock portfolio consists of 10 stocks with the highest CAR, while the loser stock portfolio consists of 10 stocks with the lowest CAR. This study found some symptoms were exaggerated but not statistically significant. The results show that the Indonesia Stock Exchange is efficient in a weak form, so the implementation of a contrarian strategy is expected to be detrimental to this market segment.

Kata Kunci : overreaction, basic industry and chemistry, efficient market hypothesis, investment contrarian.