OVERREAKSI PASAR TERHADAP HARGA SAHAM PERUSAHAAN-PERUSAHAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

Abstract

Overreaction is a market reaction that occurs in excess of any information contained in the Stock Exchange. Some theory states that the behavior ofinvestors overreact to news about an event information. Overreaction to the principal behavior of market actors that will affect stock prices. When market participants over-react to information previously unexpected, then the shares oflower's group will outperform than the winner's group shares. Result ofthis excessive reaction to a strategy to encourage people to buy loser's stocks and selling the winner's stocks. The purpose ofthis study is to determine whether the excessive reaction of stock exchange participants of the stock prices of companies listed in Indonesia Stock Exchange indicated by the different ofsignificant average abnormal return between winner and loser portofolio. This sample are companies listed on the Indonesia Stock Exchange (IDS years from 2004 to 2008 which consists of 20 companies have winner stock and 20 companies have loser stock Method in determining the return expectations used in this study are Mean Adjusted Model and Market Model. As for this research hypothesis testing using paired samples T-test. Based on the research results can be concluded that there were indications that marked overreaction is loser portfolio outperformed the winner portfolios, it means that the stock exchange in Indonesia has not yet efficiently form a strong half in the information. So the Indonesian Stock Exchange efciency is a weak form and not efficient in information . Test results using independent sample t test both ofthe mean adjusted model and market model it shows that there are differences in average abnormal returns are significant between the winner portfolio and loser portfolio. The results oftesting with the ttest means on average the whole sample portfolio winner and loser portfolio clearly supports that there overreaction elect on stock exchange in Indonesia.