ANALISIS PEMBALIKAN HARGA SAHAM DI INDONESIA BERBASIS OVERREACTION HYPOTHESIS, UKURAN PERUSAHAAN, LIKUIDITAS SAHAM, DAN BID ASK SPREAD

Toni Heryana

Abstract


Abstract. The phenomenon of the reversal of the share price on the winner stock group and loser stock group in capital market activity is often found. Departing from these many researchers in different countries back questioned whether this decision as long as the investor is always rational or irrational? The same question too much submitted researchers who examine on the Indonesia Stock Exchange who find the results varied. Departing from that problem in this research study is conducted regarding the return of investor behavior from the viewpoint of overreaction hypothesis, the company size, the liquidity of the stock, and the bid-ask spread. In line with this study is focused on the stocks that are included in the Group of LQ-45 in the years 2011 to 2013 by using regression data panel as a tool of analysis and hypothesis testing. The results showed: first, there is a price reversal event on stocks in the category loser stock group LQ-45 in October 2011, February 2012 and December 2012. The occurrence of reversal stock price caused by the behavior of overreaction from investors. Second, whether simultaneous or partial results showed no proven presence of influence between the size of the company, the liquidity of the stock, and the bid-ask spread to stock price reversal in stocks loser. This shows that information on stocks with regard to technical analysis in the observation period is no longer a reference for investors to take a decision to invest.

Keywords: Reversal of the Share Price; Overreaction Hypothesis; Company Size; Liquidity of the Stock; Bid-Ask Spread.

Abstrak. Fenomena pembalikan harga saham pada kelompok saham winner maupun kelompok saham loser dalam aktivitas pasar modal seringkali ditemui. Berangkat dari hal inilah banyak peneliti di berbagai negara kembali mempertanyakan apakah selama ini keputusan investor selalu rasional ataukah irasional? Pertanyaan yang sama juga banyak disampaikan para peneliti yang mengkaji di Bursa Efek Indonesia (BEI) yang menemukan hasil beragam. Berangkat dari permasalahan tersebut dalam penelitian ini kembali dilakukan kajian mengenai perilaku investor dari sudut pandang overreaction hypothesis, ukuran perusahaan, likuiditas saham, dan bid-ask spread. Sejalan dengan hal tersebut penelitian difokuskan kepada saham-saham yang termasuk dalam kelompok LQ-45 pada tahun 2011 sampai dengan tahun 2013 dengan menggunakan regresi data panel sebagai alat analisis dan pengujian hipotesis.  Hasil penelitian menunjukkan: pertama, terdapat peristiwa pembalikan harga pada saham-saham dalam kategori loser kelompok saham LQ-45 dalam bulan Oktober 2011, Februari 2012, dan Desember 2012. Terjadinya pembalikan harga saham disebabkan oleh adanya perilaku overreaction dari para investor. Kedua, baik secara parsial maupun simultan hasil penelitian menunjukkan tidak terbukti adanya pengaruh antara ukuran perusahaan, likuiditas saham, dan bid-ask spread terhadap peristiwa pembalikan harga saham pada saham-saham loser. Hal ini menunjukkan bahwa informasi mengenai saham yang berkenaan dengan analisis teknikal dalam periode pengamatan tidak lagi menjadi acuan para investor untuk mengambil keputusan berinvestasi.

Kata Kunci: Pembalikan Harga Saham; Overreaction Hypothesis; Ukuran Perusahaan; Likuditas Saham; Bid-Ask Spread

Keywords


Pembalikan Harga Saham; Overreaction Hypothesis; Ukuran Perusahaan; Likuditas Saham; Bid-Ask Spread

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DOI: http://dx.doi.org/10.17509/jrak.v4i3.4674

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