SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA
Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks , Islamic stocks also probably experience mar...
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| Format: | Article |
| Language: | English |
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Bank Indonesia
2020-03-01
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| Series: | Journal of Islamic Monetary Economics and Finance |
| Subjects: | |
| Online Access: | https://jimf-bi.org/index.php/JIMF/article/view/1121 |
| _version_ | 1797870497202962432 |
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| author | Sofina Mujadiddah Noer Azam Achsani Mohammad Iqbal Irfany |
| author_facet | Sofina Mujadiddah Noer Azam Achsani Mohammad Iqbal Irfany |
| author_sort | Sofina Mujadiddah |
| collection | DOAJ |
| description | Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks , Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, as well as the factors that influence the phenomenon, by using a two-stage testing method: two paired sampling and cross-sectional regression. Two specific events which occurred in 2016-2018, and which were followed by price reversal and return reversal, are studied. The results show that the election of Donald Trump as US President (Event 1) and the bombings in Surabaya (Event 2) were significant in the overreaction in the winner stock category. The factors that influenced the two events were different. The overreaction to Trump’s election proved to be significantly influenced by information leakage, while the bombings in Surabaya significantly affected the company ownership category . The results indicate that Islamic stocks continue to have several transactions which are prohibited by the DSN MUI fatwa in the short term. |
| first_indexed | 2024-04-10T00:28:21Z |
| format | Article |
| id | doaj.art-0f8720a68a7d4da79366512c065ce3a1 |
| institution | Directory Open Access Journal |
| issn | 2460-6146 2460-6618 |
| language | English |
| last_indexed | 2024-04-10T00:28:21Z |
| publishDate | 2020-03-01 |
| publisher | Bank Indonesia |
| record_format | Article |
| series | Journal of Islamic Monetary Economics and Finance |
| spelling | doaj.art-0f8720a68a7d4da79366512c065ce3a12023-03-15T04:41:26ZengBank IndonesiaJournal of Islamic Monetary Economics and Finance2460-61462460-66182020-03-016111713410.21098/jimf.v6i1.11211121SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIASofina Mujadiddah0Noer Azam Achsani1Mohammad Iqbal Irfany2IPB University, IndonesiaIPB University, IndonesiaIPB University, IndonesiaOverreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks , Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, as well as the factors that influence the phenomenon, by using a two-stage testing method: two paired sampling and cross-sectional regression. Two specific events which occurred in 2016-2018, and which were followed by price reversal and return reversal, are studied. The results show that the election of Donald Trump as US President (Event 1) and the bombings in Surabaya (Event 2) were significant in the overreaction in the winner stock category. The factors that influenced the two events were different. The overreaction to Trump’s election proved to be significantly influenced by information leakage, while the bombings in Surabaya significantly affected the company ownership category . The results indicate that Islamic stocks continue to have several transactions which are prohibited by the DSN MUI fatwa in the short term.https://jimf-bi.org/index.php/JIMF/article/view/1121cross-sectional regressioneventoverreaction |
| spellingShingle | Sofina Mujadiddah Noer Azam Achsani Mohammad Iqbal Irfany SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA Journal of Islamic Monetary Economics and Finance cross-sectional regression event overreaction |
| title | SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA |
| title_full | SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA |
| title_fullStr | SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA |
| title_full_unstemmed | SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA |
| title_short | SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA |
| title_sort | short term overreaction of islamic stocks to specific events in indonesia |
| topic | cross-sectional regression event overreaction |
| url | https://jimf-bi.org/index.php/JIMF/article/view/1121 |
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