Ernie Hendrawaty (2001) Analisis Tingkat Pendapatan Abnormal Saham Winners Dan Losers Di Bursa Efek Jakarta Tahun 1999. Thesis thesis, UNIVERSITAS AIRLANGGA.

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Abstract

This research is to examine the stocks experiences largest price change in Bursa Efek Jakarta during 1999. Those stocks are called 'winners' stock (the stocks experienced largest daily price increase) and 'losers' stock (the stock stocks experienced largest daily price decreases). Research toward reaction of the stock is conducted before and after it experienced the largest price change. The purpose of this research is to test whether there is reverse anticipation toward the event and to test whether the reversals effect exists. This research is also conducted further test to check whether small size effect can explain the return reversal instead of market overreaction. The research model is an event study to study how the market reacts toward the event. This particular event study research is different from the standard event study because it doesn't necessarily classify the events based on a particular information. The events in this research, are determined fundamentally on the largest price change, both of the stocks experienced the largest price increase and decrease. The market reaction is measured upon the abnormal return. The research results on the findings that winners (losers) stocks has done the anticipation in an opposite direction (reverse anticipation) toward the positive (negative) event. Only the losers stock experienced the return reversal, on the other hand, the winners stock reaction after a positive event tended to be stagnant. Based on the research findings, company size effect is not proved to influence the reaction both winners and losers stock. Thus, the result is robust that return reversal experienced by losers stock is caused by the market overreaction. Overall such stock reaction clearly shows that the Indonesian stock market is not disclosure and the investors tend to be overreacting toward the bad news.

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