EFISIENSI PASAR MODAL INDONESIA : PENGUJIAN OVERREACT HYPOTHESIS BERDASARKAN POLA WINNER-LOSER SAHAM-SAHAM SEKTOR INDUSTRI MANUFAKTUR

Siman, Antony (2005) EFISIENSI PASAR MODAL INDONESIA : PENGUJIAN OVERREACT HYPOTHESIS BERDASARKAN POLA WINNER-LOSER SAHAM-SAHAM SEKTOR INDUSTRI MANUFAKTUR. S2 thesis, UAJY.

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Abstract

This research is conducted to prove whether has occured Overreact Hypothesis in Indonesian stock market with stock of manufacture industry sector in Jakarta Stock Exchange as proxi over examination period (July 2003-June 2004). In addition, this research also to irrestigate whether that over examination period, stock market was in efficient condition or not based on winner-loser portfolio that was formed over formation period (July 2002-June 2003). To know whether has occurred Overreact Hypothesis or not, to do by observe excess return of winner-loser portfolio movement, if over examination period loser portfolio outperfonn winner therefore can be concluded has occurred Overreact Hypothesis. And to know whether capital market is efficient in weak form or not, to do by examine excess return correlation each stock class, that is between excess return over formation period with excess return over examination period. If has occurred significant correlation therefore can be concluded that market is inefficient in weak form. This research concludes that over examination period hasn't occurred Overreact Hypothesis, this shown by winner-loser portfolio perform over examination period is similar with formation period (winners still be winner and losers still be losers). Therefore there is not significant correlation occurred between excess return in formation period and in examination period for each stock class, therefore can be concluded that capital market over July 2003 up to June 2004 is efficient in weak form.

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