Institutional Repository | Satya Wacana Christian University: Fenomena Price Reversal: Analisis Overreaction Hypothesis (Studi Empiris pada Perusahaan yang Tercatat Di BEI)

Abstract
This study tested a stock return, following a day of major changes to the stock
price in the Indonesia Stock Exchange (IDX) period 2010 - 2013. This research used a
sample of 213 companies, listed at the IDX. These samples were then classified into back of
69 companies sample winner and 102 companies sample loser.This research used daily
abnormal return data, using Market Adjusted Model calculation. The period of observation
was 5 days before t = 0 and 20 days after t = 0.
Using the analysis of a t-test and the correlation test, the results of the study
indicate that the price momentum and reversal happen on stock winner snd loser. However
the correlation analysis results showed price momentum due to overreaction just happens
to share loser. Momentum stock winner and loser are then followed by a reversal of the
price due to the market correction. An overreaction from investors in a reversal of the price
implies that the market has not been efficient, because stock prices can be predicted based
on the stock prices in the past.
Keyword: overreaction, firm size, liquidity, abnormal return, and price reversal