Morning Loss dan Afternoon Risk-Taking di Bursa Efek Jakarta

NUGROHO, Warih Pambudi, Sukmawati, Dr.,MM

2005 | Tesis | Magister Manajemen

Penelitian ini dibuat untuk mengetahui adanya perilaku bias harga, terkait dengan meningkatnya resiko di sore hari seiring dengan kerugian yang terjadi pada pagi hari di Bursa Efek Jakarta. Dengan membandingkan nilai mean dari variabel stock return dan stock risk pada keadaan morning loss dengan morning profit, memberikan hasil bahwa resiko di sore hari meningkat seiring dengan kerugian yang dialami pada pagi hari. Hasil dari analisa regresi menyatakan bahwa variabel independent (morning return dan morning risk) pada keadaan morning loss mempengaruhi penerimaan resiko pada sore hari. Dengan menggunakan uji F dan uji t menunjukan bahwa secara significant afternoon risktaking dipengaruhi oleh keadaan moning loss dibanding pada saat morning gain atau sebaliknya.. Investor di Bursa Efek Jakarta semakin berani mengambil resiko di sore hari seiring dengan keadaan rugi pada pagi hari.

This research is done to find out the pricing behaviour bias related with the increasing risk in the afternoon in line with the losses that happened in the morning in Jakarta Stock Exchange. By comparing the value of mean from stock return variable and stock risk in the morning loss with morning profit gave result the risk in the afternoon increased in accordance with the losses happened in the morning. The result from regression analysis showed that independent variable (morning return and morning risk) in the morning loss have affected the return of the risk in the afternoon. By using F-test and t-test, the results showed that afternoon risk-taking is affected significantly by the morning loss situation compare to morning gain and vice versa. Investor in Jakarta Stocks Exchange is braver in taking the risk in the afternoon in line with the losses in the morning.

Kata Kunci : Pasar Modal,Morning Loss,Morning Return, morning loss, morning profit, morning return, morning risk, afternoon risk-taking