Analysis of market overreaction and size differences between winner and loser stock portfolio in Jakarta Stock Exchange :: An Analysis about prices behavior in Jakarta Stock Exchange period 1999-2000
SANTOSO, Ferry Gatot, Prof.Dr. Zaki Baridwan, MSc
2002 | Tesis | Magister ManajemenTidak ada
The purpose of this study is to test the existence o€ murket overreaction towards the behavior of share price in JSX in 1999-2000, and to identify the influence of distinct firm size towards share "winner " portfolio and share "loser" portfolio in testing stock market overreaction. Accordmg to the selection procedure of sample as explained before, obtained 80 shares that will be applied as sample of research. Following the methods used in the De Bond and Thaler study, a series of nonoverlapping 3-month samples was created using weekly rate of returns during the period 1999 through 2000. Each sample consisted of a three-month formation period and a three-month test period, making a total of 7 non-overlapping samples for analysis. In this research a test was carried out similar to what Zarowin did, Has stock market overreaction occurred in JSX on 1999 - 2000 and whether there was a significant difference between average capitalization of loser stock market and winner stock market
Kata Kunci : Kinerja Portfolio,BEJ
