Market Overreaction Pada Bursa Efek Indonesia  Dengan Size Effect Sebagai Variabel Pemoderasi

Tanady, Melisa; Sukamulja, Sukmawati

doi:10.26418/jebik.v9i3.40833

Cited by 2 publications

(3 citation statements)

References 19 publications

(28 reference statements)

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“…Likewise, the findings of (Sianipar, 2017) (Nidar & Ulfa 2017) found an anomaly in firm size when there was a market overreaction phenomenon in Indonesia. However, in 2020 and 2021, the firm size factor was found not to affect the return reversal that occurred, by the findings of (Blackburn & Cakici, 2017) and (Tanady & Sukamulja, 2020). This indicates that in 2020, when the COVID-19 pandemic occurred, investors' exaggerated responses or reactions in dealing with pandemic conditions were carried out without regard to the size factor of the companies that were their investment targets.…”

Section: Discussionmentioning

confidence: 90%

“…Supporting the findings of (De Bondt & Thaler, 1987) that included the firm size variable in testing market overreaction, (Blackburn & Cakici, 2017) also found no size effect on return reversal anomalies in several developed countries grouped into North America, Europe, Japan, and Asia. Meanwhile, Indonesia (Tanady & Sukamulja, 2020) found no size effect when an anomaly of reversal return occurred. However, the research results (Sianipar, 2017) found that firm size affected the folio price's reverse sale.…”

Section: Introductionmentioning

confidence: 95%

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Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Sembiring

2024

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This research aims to prove whether firm size and market risk based on CAPM affect return reversal anomalies as indicators of market overreaction during the COVID-19 pandemic. This explanatory research used a sample of stocks on the Indonesia Stock Exchange (IDX) that could be profitable during the pandemic period up to the effective period of phase one and two vaccination. It was found that return reversal anomalies occurred in the short term on the IDX, and contrarian strategies resulted in profits. Factors of firm size and market risk affected the reversal of returns in specific periods but did not affect other periods. When firm size and market risk had no effect, the return reversal anomaly occurred entirely due to the investors' overreaction in response to the pandemic without regard to the size and market risk factors of companies whose stocks were the investment target.

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Section: Discussionmentioning

confidence: 90%

Section: Introductionmentioning

confidence: 95%

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Sembiring

2024

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“…Table 1 shows the division of the observation period of 6 months (short -term) and the observation period of 12 months (long-term). Determining short-term and long-term observations follows the formation pattern in Tanady and Sukamulja (2020).…”

Section: Analysis Methods and Techniquesmentioning

confidence: 99%

Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange

Miswanto,

Putri

2023

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This study investigates the anomalies of winner-loser portfolios and anomalies of size effect on LQ45 stocks in the Indonesia Stock Exchange (IDX), period 2015-2020. The paired sample t-test (parametric) and Wilcoxon test (non-parametric) are used to test samples. Sample selection is carried out using the non-probability and purposive sampling methods. The shares of companies that met the sample criteria were 26. The primary data used cumulative abnormal returns and market capitalization as proxies for a company's stock size. The anomaly of the winner-loser effect phenomenon is observed by dividing the data into two periods: the formation period and the testing period. The periods are both short-term and long-term. The short-term period is six months, and the long-term is 12 months. The first finding shows reversals in average cumulative abnormal returns (CARs) on the winner-loser stock portfolio. In the testing period, the average CARs were turned down, and many average CARs became negative. Portfolio loser in the testing period, the average CARs reversed to positive. The second is a reversal in average CARs in winner-loser stock portfolios caused by the size effect. The performance of small winner-loser portfolios is proven to outperform big winners' portfolios. The reversal occurs in both the short-term and long-term. This finding suggests that behavioral finance can explain this market anomaly, and it is helpful for investors in coming up with strategies to get abnormal returns.

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Market Overreaction Pada Bursa Efek Indonesia Dengan Size Effect Sebagai Variabel Pemoderasi

Cited by 2 publications

References 19 publications

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Firm Size, Market Risk, And Return Reversal Anomalies During The COVID-19 Pandemic

Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange

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