MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA
This paper examines whether the anomalies of market overreaction and size effect and or liquidity effect occur on the Indonesia Stock Exchange.We also test the anomalies over short period and longer-term period. The sample of this research comprises of stocks listed in the KOMPAS 100 index from Jan...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universitas Udayana
2014-02-01
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| Series: | Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan |
| Subjects: | |
| Online Access: | http://ojs.unud.ac.id/index.php/jmbk/article/view/8052 |
| _version_ | 1818176641447231488 |
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| author | Danes Quirira Octavio I Wayan Nuka Lantara |
| author_facet | Danes Quirira Octavio I Wayan Nuka Lantara |
| author_sort | Danes Quirira Octavio |
| collection | DOAJ |
| description | This paper examines whether the anomalies of market overreaction and size effect and or liquidity effect occur on the Indonesia Stock Exchange.We also test the anomalies over short period and longer-term period. The sample of this research comprises of stocks listed in the KOMPAS 100 index from January 2010 – July 2010. The stocks listed in KOMPAS 100 index are considered as active stocks and provide great influence on the movement Indonesian Capital Market Composite Index (IHSG). Stocks are grouped into two portfolio samples: winner portfolio and loser portfolio. Results depict that only market overreaction occurred and only in loser portfolio.We also find that the market overeaction occur only in short period (6 months). We further test the size effect and liquidity effect. The finding shows that size matter in explaining market overeaction on loser portfolio |
| first_indexed | 2024-12-11T20:19:25Z |
| format | Article |
| id | doaj.art-2a43186827a54137ba94df4757928cbb |
| institution | Directory Open Access Journal |
| issn | 1978-2853 2302-8890 |
| language | English |
| last_indexed | 2024-12-11T20:19:25Z |
| publishDate | 2014-02-01 |
| publisher | Universitas Udayana |
| record_format | Article |
| series | Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan |
| spelling | doaj.art-2a43186827a54137ba94df4757928cbb2022-12-22T00:52:06ZengUniversitas UdayanaJurnal Manajemen, Strategi Bisnis dan Kewirausahaan1978-28532302-88902014-02-01816920MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIADanes Quirira OctavioI Wayan Nuka LantaraThis paper examines whether the anomalies of market overreaction and size effect and or liquidity effect occur on the Indonesia Stock Exchange.We also test the anomalies over short period and longer-term period. The sample of this research comprises of stocks listed in the KOMPAS 100 index from January 2010 – July 2010. The stocks listed in KOMPAS 100 index are considered as active stocks and provide great influence on the movement Indonesian Capital Market Composite Index (IHSG). Stocks are grouped into two portfolio samples: winner portfolio and loser portfolio. Results depict that only market overreaction occurred and only in loser portfolio.We also find that the market overeaction occur only in short period (6 months). We further test the size effect and liquidity effect. The finding shows that size matter in explaining market overeaction on loser portfoliohttp://ojs.unud.ac.id/index.php/jmbk/article/view/8052abnormal return, market overreaction, size effect, liquidity effect |
| spellingShingle | Danes Quirira Octavio I Wayan Nuka Lantara MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan abnormal return, market overreaction, size effect, liquidity effect |
| title | MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA |
| title_full | MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA |
| title_fullStr | MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA |
| title_full_unstemmed | MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA |
| title_short | MARKET OVERREACTION, SIZE EFFECT ATAU LIQUIDITY EFFECT? STUDI PADA BURSA EFEK INDONESIA |
| title_sort | market overreaction size effect atau liquidity effect studi pada bursa efek indonesia |
| topic | abnormal return, market overreaction, size effect, liquidity effect |
| url | http://ojs.unud.ac.id/index.php/jmbk/article/view/8052 |
| work_keys_str_mv | AT danesquiriraoctavio marketoverreactionsizeeffectatauliquidityeffectstudipadabursaefekindonesia AT iwayannukalantara marketoverreactionsizeeffectatauliquidityeffectstudipadabursaefekindonesia |