Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45

Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks

Rowland Bismark Fernando Pasaribu

MPRA Paper from University Library of Munich, Germany

Abstract: As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio will experience of rebound conversely degradation at share winner portfolio. This study aim to prove existency of overreaction anomaly effect in Indonesia Stock Market specially the LQ-45 during 2003-2007. By using Debont-Thaler approach, empirical result express that there is no symptom of overreaction anomaly at three-month, six-month, and annual period. Therefore the study recommend the investor to avoid contrarian strategy specially of LQ-45 stocks.

Keywords: Market Efficiency; Overreaction; Portfolio; Return; Risk; Indonesia (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2010-04
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Published in Jurnal Ekonomi dan Bisnis 2.5(2011): pp. 87-115

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