ANALISIS REAKSI BERLEBIHAN, EFEK BID-ASK, FIRM SIZE, DAN LIKUIDITAS DALAM FENOMENA PRICE REVERSAL DI BURSA EFEK JAKARTA

Kusumawardani, Srihartati (2001) ANALISIS REAKSI BERLEBIHAN, EFEK BID-ASK, FIRM SIZE, DAN LIKUIDITAS DALAM FENOMENA PRICE REVERSAL DI BURSA EFEK JAKARTA. Masters thesis, PROGRAM PASCASARJANA UNIVERSITAS DIPONEGORO .

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Abstract

Recent research finds a new phenomenon in the fluctuation of stock prices that called price reversal phenomenon. This phenomenon is related to the winner- loser anomaly that creates a contrarian investment strategy. There are many hypothesis had suggested as an explanation of this phenomenon, such as overreaction hypothesis, bid-ask spread, firm size, and liquidity in the stock market. This study examines stock return following large one-day price changes in the Jakarta Stock Exchange since 1998 until 2000. Using the correlation and regression test, with stock price daily data, this study tries to find the evidence that overreaction, bid-ask spread, firm size, and liquidity are influence the price reversal phenomenon. Further, this study also try to find the evidence that investors could earn abnormal profits during the adjustment day after the large one-day stock price changes. Consistent with previously research evidence of Jakarta Stock Exc. hange price reversal phenimenon study, the loser portfolio experienced a significant price reversal in the test period, but the winner portfolio exhibited no such behavior. The study results show the evidence of investor overreaction influence to price revesal phenomenon and there is only little significant evidence for bid-ask spread, firm size, and liquidity factors. This study also finds evidence of investor's abnormal profits during the adjustment day. So, it is suggested for investors to buy the stocks when its price fall at day tO or tl and sell them when the price increase during the adjustment day. ABSTRAKSI Penelitian terakhir menemukan adanya fenomena baru dalam pergerakan harga saham yang disebut dengan fenomena "price reversal". Fenomena ini berhubungan dengan anomali winner-loser yang menciptakan strategi investasi kontrarian. Terdapat beberapa hipotesis yang telah diajukan sebagai penjelasan terhadap fenomena ini, antara lain hipotesis reaksi berlebihan (overreaction), bid- ask spread, firm size, dan likuiditas di pasar modal. Penelitian ini menguji return saham yang mengikuti satu hari perubahan besar harga saham di Bursa Efek Jakarta mulai tahun 1998 sampai tahun 2000. Menggunakan uji korelasi dan regresi, dengan data harga saham harian, penelitian ini berusaha menemukan bukti bahwa reaksi berlebihan,bid-ask spread, firm size, dan likuiditas berpengaruh terhadap fenomena price reversal. Lebih jauh, penelitian ini juga berusaha mencari bukti bahwa investor dapat memperoleh keuntungan abnormal selama hari penyesuaian setelah satu hari perubahan besar harga saharn. Konsisten dengan hasil penelitian terdahulu mengenai fenomena price reversal di Bursa Efek Jakarta, portofolio saham-saham loser mengalami pembalikan harga (price reversal) yang signifikan selama periode pengamatan, tetapi portofolio winner tidak menunjukkan perilaku yang sama. Hasil penelitian menunjukkan adanya bukti pengaruh reaksi berlebihan investor terhadap fenomena price reversal dan hanya terdapat sedikit bukti yang signifikan bagi faktor-faktor bid-ask spread, firm size, dan likuiditas. Penelitian ini juga menemukan bukti adanya keuntungan abnormal investor selama hari penyesuaian. Sehingga dianjurkan kepada para investor untuk membeli saham-saham ketika harganya turun pada hari to atau dan menjualnya pada saat harga meningkat selama hari penyesuaian.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:8968
Deposited By:Mr UPT Perpus 2
Deposited On:21 Apr 2010 19:38
Last Modified:21 Apr 2010 19:38

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