Stock overreaction to extreme market events

Piccoli, Pedro; Chaudhury, Mo; Souza, Alceu; Silva, Wesley Vieira da

doi:10.1016/j.najef.2017.04.002

Cited by 50 publications

(28 citation statements)

References 36 publications

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“…(Pedro Piccoli & Chaudhury, Alceu Souza, 2019) menyelidiki perilaku individu saham AS selama 21 hari perdagangan setelah peristiwa pergerakan ekstrim di indeks pasar pada satu hari. Mereka menemukan saham tersebut cenderung bereaksi berlebihan setelah peristiwa positif dan negatif, menunjukkan bahwa reaksi berlebihan dan volatilitas pasar terkait.…”

Section: Pendahuluanunclassified

Market Overreaction Pada Idx 30 (Periode Penelitian 2016-2019)

Satria

Yadnya

2021

EJMUNUD

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Ketersediaan informasi yang relevan pada suatu pasar modal khususnya pada sekuritas yang diperdagangkan sangatlah penting bagi investor, sehingga pasar modal dapat dikatakan efisien. Karakteristik investor dapat mengakibatkan pergerakan harga saham. Investor yang bersifat irasional dalam berinvestasi dapat menyebabkan terjadinya makret overreaction. Penelitian ini bertujuan untuk menganalisis keberadaan market overreaction pada IDX 30 periode penelitian 2016-2019. Pengambilan sampel pada penelitian ini menggunakan teknik purposive sampling dan mendapat sampel sebanyak 17 dari 45 populasi perusahaan yang terdaftar pada indeks IDX 30 selama 8 semester. Penelitian ini menggunakan abnormal returns winner, loser, dan loser-winner sebagai variabel penelitian. Pengujian statsitik untuk menguji perbedaan kumulasi rata-rata abnormal return saham winner, loser, dan loser-winner dengan menggunakan uji one sample t-test. Hasil penelitian ini menemukan gejala market overreaction pada ACAR portofolio winner, loser, dan ACAR loser-winner yang ditunjukkan dengan adanya pembalik harga (Price Reversal) pada setiap ACAR, namun pengujian signifikansi one sample t-test menunjukkan market overreaction yang terjadi tidaklah signifikan, yang ditunjukkan oleh t-hitung < t-tabel. Kata kunci: Market overreaction, Efisiensi Pasar, Price Reversal, Anomali Winner-Loser

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Section: Pendahuluanunclassified

Market Overreaction Pada Idx 30 (Periode Penelitian 2016-2019)

Satria

Yadnya

2021

EJMUNUD

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“…Kejadian penyimpangan overreaction sebelumnya telah diteliti secara empiris di seluruh dunia, misalnya Durand et.al (2013), Bessière dan Elkemali (2014) dan Piccoli et al (2017). Durand et al (2013) meneliti gejala overreaction yang terjadi di pasar keuangan Australia.…”

Section: Gambar 1 Pergerakan Indeks Ihsg and Lq-45 DI Sekitar Tanggal unclassified

“…Bessière dan Elkemali (2014) menemukan terjadinya market overreaction yang terjadi di pasar saham Eropa pada periode 1997-2007. Overreaction juga terjadi pada saham-saham di Amerika Serikat pada periode 1926-2013 ketika terjadi peristiwa positif dan negatif atas sebuah kasus (Piccoli et al, 2017).…”

Section: Gambar 1 Pergerakan Indeks Ihsg and Lq-45 DI Sekitar Tanggal unclassified

“…Gejala overreaction di pasar saham di Indonesia khususnya saham LQ-45 pun merupakan fenomena yang sudah biasa terjadi saat pembukaaan dan penutupan harga (Sumiyana, 2009). Gejala overreaction terjadi pada portofolio loser yang ditunjukkan dengan menguatnya saham loser daripada saham winner (Piccoli et al, 2017). Wibowo dan Sukarno (2004) menemukkan terjadinya overreaction yang terjadi pada saham loser saja dan tidak terjadi pada saham winner serta tidak terdapat gejala price reversal sesudahnya.…”

Section: Pengembangan Hipotesis Penelitianunclassified

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Market Overreaction Saham Lq-45 Terhadap Pengumuman Asian Games Ke-18

Gumanti

Kasprianti

Mufidah

2019

Wahana

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Sports events are now a big concern for management and sports tourism and have become a big business opportunity that has an impact on the economy, especially for countries that host the event. The Asian Games is one of the biggest sports events in Asia that are held every four years. Indonesia is the country chosen to host the 18th Asian Games which was announced on July 25, 2014. The purpose of this study is to analyze LQ-45 stock whether after Indonesia was announced to host the 18th Asian Games there was a market overreaction and was followed by the emergence of price reversals. The final sample of the study was 32 companies. Results showed the presence of market overreaction symptoms in the winner and loser portfolios in the period after the announcement. There has been a market overreaction in the winner and loser portfolios due to the announcement of Indonesia's determination to host the 18th Asian Games. Price reversal occurs in loser portfolios and does not occur in portfolio winners due to the announcement of Indonesia's determination to host the 18th Asian Games.

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“…Return predictability in securities markets is important both due to its connotations to profitable trading opportunities (Kaniel et al, 2008) and for its implications vis-a-vis market efficiency (Poterba and Summers, 1988), yet past literature yielded conflicting insights regarding the presence or degree of predictability across markets. In practice, stock market data often feature predictability patterns, which may emanate from over-or under-reaction to news (Piccoli et al, 2017;Al-Thaqeb, 2018), and market microstructure factors such as non-synchronous trading (Camilleri and Green, 2014), the bid-ask spread bounce (Kandel et al, 2012), the execution of stale limit orders (Berkman, 1996), and the splitting of large orders into smaller ones (Lee et al, 2004).…”

Section: Introductionmentioning

confidence: 99%

Predictability in securities price formation: differences between developed and emerging markets

Camilleri

Vassallo

Bai

2020

JCMS

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PurposeThis paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample.Design/methodology/approachThe authors analyse security returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests.FindingsThe findings pinpoint at predictabilities which seem inconsistent with market efficiency, and they suggest that the inherent cause of predictability differs across groups.Research limitations/implicationsThe authors present empirical evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view of the conflicting evidence in prior literature.Practical implicationsWhilst the pricing process in emerging markets may be hindered by delayed adjustments, in case of established markets it seems that there is a higher tendency for price reversals which could be due to prior over-reactions.Originality/valueThis study presents evidence of substantial differences in predictability across developed and emerging markets which was gleaned through the rigorous application of different empirical tests.

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Stock overreaction to extreme market events

Cited by 50 publications

References 36 publications

Market Overreaction Pada Idx 30 (Periode Penelitian 2016-2019)

Market Overreaction Pada Idx 30 (Periode Penelitian 2016-2019)

Market Overreaction Saham Lq-45 Terhadap Pengumuman Asian Games Ke-18

Predictability in securities price formation: differences between developed and emerging markets

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