Kinesti, Ajeng (2021) Analisis Overreaction Behavior Pada Saham Idx80 Saat Kondisi Market Bearish (Studi Pada Masa Pandemi Covid-19). Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengidentifikasi perilaku overreaction yang diindikasikan dengan adanya anomali winner-loser. Penelitian ini mengasumsikan adanya kecenderungan perilaku overreaction saat kondisi market bearish dengan menganalisis 3 set periode pengamatan selama masa pandemi covid-19 di Indonesia. Perilaku overreaction terlihat dari nilai rata-rata kumulatif average residual return portofolio loser yang dapat mengungguli portofolio winner dengan nilai yang signifikan. Portofolio winner diseleksi dengan nilai kumulatif abnormal return tertintinggi. Sedangkan portofolio loser diseleksi dengan nilai kumulatif abnormal return terendah. Dengan menggunakan estimasi market adjusted return, abnormal return dihitung dengan mencari selisih return aktual dengan return market. Hasil dari penelitian ini adalah terjadi perilaku overreaction pada hari pertama yang didukung oleh adanya reversal pada masing-masing portofolio di hari yang sama. Dengan demikian strategi kontrarian dapat diterapkan tetapi dengan kehati-hatian mengingat overreaction yang signifikan hanya terjadi pada satu hari. Kata kunci: Perilaku overreaction, Anomali winner-loser, Strategi kontrarian, Abnormal return, IDX 80, pasar bearish, Covid-19"
English Abstract
This study aims to identify the overreaction behavior indicated by the winnerloser anomaly. This study assumes that there is a tendency for overreaction behavior during bearish market conditions by analyzing 3 sets of observation periods during the COVID-19 pandemic in Indonesia. The overreaction behavior can be seen from the cumulative average residual return of the loser portfolio which can outperform the winner portfolio with a significant value. The winner portfolio is selected with the highest cumulative abnormal return value. Meanwhile, the loser portfolio is selected with the lowest cumulative abnormal return value. By using market adjusted return estimation, abnormal return is calculated by finding the difference between actual return and market return. The result of this research is that there is an overreaction behavior on the first day which is supported by a reversal in each portfolio on the same day. Thus the contrarian strategy can be applied but with caution considering the significant overreaction only occurred on one day.
Other obstract
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| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 052102 |
| Uncontrolled Keywords: | Perilaku overreaction, Anomali winner-loser, Strategi kontrarian, Abnormal return, IDX 80, pasar bearish, Covid-19", Overreaction behavior, winner-loser anomaly, contrarian strategy, abnormal returns, IDX 80, bearish market, Covid-19 |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Unnamed user with username lilik |
| Date Deposited: | 25 Oct 2021 02:07 |
| Last Modified: | 23 Feb 2022 08:43 |
| URI: | http://repository.ub.ac.id/id/eprint/185833 |
![[thumbnail of DALAM MASA EMBARGO]](http://repository.ub.ac.id/style/images/fileicons/text.png) |
Text (DALAM MASA EMBARGO)
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