Electronic Theses and Dissertation

Penelitian ini bertujuan untuk menguji keberadaan overreaction dan strategi kontrarian di Bursa Efek Indonesia (BEI). Sampel dalam penelitian ini adalah Perusahaan non keuangan di Bursa Efek Indonesia selama periode 2019-2022. Pengujian menggunakan harga penutupan mingguan. Penelitian ini mengklasifikasikan portofolio winner dan loser pada masing-masing periode formasi dan pengujian. Portofolio winner dan loser disortir dari Cumulative Abnormal Return masing-masing Perusahaan non keuangan pada periode formasi. 20% cumulative abnormal return bagian atas masuk kedalam portofolio winner dan 20% cumulative abnormal return bagian bawah masuk kedalam loser. Hasil cumulative abnormal return masing-masing portofolio kemudian dihitung average cumulative abnormal return pada periode pengujian. Hasil yang diperoleh dari overreaction dengan menggunakan Paired sample t-test dan Wilcoxon sample t-test menunjukkan terjadi pembalikan harga pada seluruh portofolio winner dan loser. Hasil yang diperoleh dari strategi kontrarian dengan menggunakan one sample t-test menunjukkan pembalikan harga hanya terjadi pada kedua portofolio. Secara tegas, hasil penelitian ini menunjukkan bahwa terjadi peristiwa overreaction dan strategi kontrarian di Perusahaan non keuangan di Bursa Efek Indonesia ditandai dengan adanya pembalikan harga.

Kata kunci: Anomali, Portofolio Winner, Portofolio Loser, Overreaction, Price Reversal, Strategi Kontrarian.

This research aimed to test the existence of an overreaction and contrarian strategy in Indonesian Stock Exchange (IDX). Samples in research are non-financial companies listed in Indonesian Stock Exchange (IDX) during the period 2019-2022. Test using weekly closing price data. The research classifies winner and loser portfolios into each formation period and testing period. Portfolio sorted on cumulative abnormal return of each company at non-financial companies in the formation period. 20% of the top cumulative abnormal return are classified as winner portfolio and the lower of the 20% of the cumulative abnormal return are classified as loser portfolio. The result of cumulative abnormal return each portfolio calculated by using Average cumulative abnormal return in testing period. The result of indicated overreaction by using paired sample t-test and wilcoxon sample t-test is indicated by the price reversal on both winner and loser portfolio. The result of contrarian strategy using one sample t-test is indicated by the price reversal on five observation. Strictly, the result of this study concluded that there is an overreaction and contrarian strategy at the non-financial companies on the Indonesian Stock Exchange are indicated by price reversal. Keywords: anomaly, portfolio winner, portfolio loser, overreaction, price reversal, contrarian strategy.