Contrarian profit and the overreaction hypothesis in the Jakarta Stock Exchange

PRASTITI, Dini Martia, Eduardus Tandelilin, Prof.Dr.,MBA

2007 | Tesis | Magister Manajemen

Banyak penelitian menunjukkan adanya penyimpangan terhadap konsep pasar modal yang efisien atau yang disebut dengan anomali pasar. Fenomena pembalikan return adalah salah satu bentuk anomali pasar, dimana saham-saham loser akan berbalik manjadi saham winner dan sebaliknya. Berdasarkan adanya fenomena return reversal, strategi contrarian dimana investor membeli saham saham loser dan menjual saham winner % dapat memberikan keuntungan. Keuntungan yang didapatkan dan aplikasi strategi contrarian dinamakan profit contrarian. Berdasarkan beberapa penelitian mengenai fenomena return reversal, overreaction seringkali merupakan fenomena yang melatarbelakangi profit contrarian. Dengan menggunakan metode purposive sampling, diperoleh 220 saham sebagai sample.kemudian saham-saham tersebut dikelompokkan dalam quintile. Kategori quintile pertama berisi saham-saham loser dan quintile kelima berisi saham-saham kategori winner. Selisih return antara portfolio saham loser dan winner dihitung, jika hasilnya positif maka profit contrarian dihasilkan. Langkah selanjutnya adalah menelusuri apakan profit contrarian yang dihasilkan dilatarbelakangi oleh overreaction, lead-lag structure atau faktor resiko lainnya. Hasil penelitian menunjukkkan bahwa strategi contrarian menghasilkan profit contrarian, meskipun tidak signifikan. Besarnya return bulanan ralatif kecil. Kedua, ukuran perusahaan tidak berpengaruh pada dihasilkannya profit contrarian. Namun, return yang dihasilkan oleh portfolio size-sorted cenderung lebih besar. Hasil analisis dekomposisi profit contrarian menunjukkan bahwa overreaction merupakan fenomena utama yang melatarbelakangi profit contrarian. Reaksi saham terhadap pasar juga melatarbelakangi profit contrarian namun pengaruhnya relatif kecil.

Recent years, many studies have provided evidence that challenge the efficient market hypothesis. These evidence describe as market anomalies. Return reversal phenomenon is one type of market anomalies which refer to stocks that previously included in winner category, eventually will become loser, vice versa. Thus based on the phenomenon, contrarian strategies of holding loser stocks and selling winners are profitable, and the return produced from this strategy are named contrarian profits. Most studies that investigate the return reversals phenomenon address overreaction as the main source of contrarian profits. However, there are also studies that addressed measurement error, time varying market risk, etc. as the source of contrarian profits. This study is aim to investigate the profitability of contrarian strategies and investigate the source of contrarian profits based on the model proposed by Jagadeesh and Titman (1995). Using purposive sampling method, 220 stocks listed in the Jakarta Stock Exchange (JSX) are obtain as samples, then stocks are sorts into winner and loser categories and assign the stocks in quintiles. The first quintiles are the loser stocks and the fifth quintiles are winner stocks. The difference between loser and winner stocks returns is calculated, and if the results were positive then contrarian profits are generated. The next step is decomposing the profits to investigate the source whether it come from overreaction, lead-lag structure or other risk factors. The results of this study indicate that contrarian strategies generate contrarian profits although, in average, it is not statistically significant. The magnitude of the monthly return is relatively small. Second, it is observed that firm’s size does not influence the persistence of contrarian profits; however the findings also indicate that the magnitude of contrarian profits is tends to be larger in size-sorted contrarian portfolios. The results become more evident in 2003. The result from the decomposition of contrarian profits illustrate that most of contrarian profits is due to overreaction; however market reactions describe as lead-lag structure also contribute, but small, to contrarian profits.

Kata Kunci : Pasar Modal,Return Reversal, contrarian profit, overreaction, lead-lag structure.