PENGUJIAN EKSISTENSI RECENCY BIAS PADA PASAR SAHAM INDONESIA

IRFAN SIDIK, Marwan Asri, Prof., M.B.A., Ph.D.

2019 | Skripsi | S1 MANAJEMEN

Penelitian ini menguji eksistensi recency bias, timing keluarnya 52-week high, dalam mempengaruhi perilaku investor. Diindikasikan karena investor enggan untuk bid up (bid down) harga saham yang baru saja (telah lama) mencapai titik tertingginya saham tersebut cenderung undervalued (overvalued). Harga yang tidak pada tingkat yang semestinya dikoreksi secara bertahap oleh pasar. Saham yang "terkini" ("lampau") cenderung undervalued (overvalued) dimasa mendatang akan naik (turun) dan menghasilkan return lebih tinggi (rendah). Berdasarkan hasil penelitian, terbukti saham yang terkini mengungguli saham yang lampau sebesar 1,193%. Selain mengandung informasi jarak (waktu) yakni recency, variabel 52-week high juga mengandung informasi lain yakni jarak (nilai) harga saat ini dengan harga tertingginya. Berdasarkan hal tersebut dilakukan pemeringkatan bertingkat jarak (waktu) dan jarak (nilai) untuk mengetahui eksistensi recency bias setelah mengontrol pada setiap tingkatan jarak (nilai) saham dengan 52-week high. Hasil penelitian membuktikan eksistensi recency bias bahkan pada setiap tingkatan.

This research identifies the existence of recency bias, timing of 52-week high, in terms influencing investors behaviour. Since investor are reluctant to bid up (bid down) towards stocks that recently reaches its peak, these stocks tends to be overvauled. Thus, the existence of recency bias was indicated. Stocks that are not priced at the appropriate level will be corrected gradually by the market. "Recent" ("past") stocks tend to be undervalued (overvalued) in the future will increase (decrease) in achieving higher (lower) returns. Based on the research findings, the evidence shows that recent stocks outperformed past stocks by 1.193%. Apart from having information that is related to the distance (value) which is recency, 52-week high variable also contained another information which is the distance (value) between recent prices and its highest value (anchoring bias). Therefore, multiple portfolios were generated based on the two variables to identify the existence of recency bias after controlling every level of distance (value) of stocks with its 52-week high. The result of this research shows the existence of recency bias within every level.

Kata Kunci : Recency bias,Momentum,Underreaction,52-week high