Price Reversal : Overreaction and Liquidity in Sharia Manufacturing Shares Listed in the Indonesia Sharia Stock Index (ISSI) for the Period 2019 – 2021
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Oct 24, 2022
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Abstract
In choosing their desired types of investment, investors often considered several factors. The objective of this study is to examine the influence of overreaction and liquidity on price reversal phenomenon. The method used is descriptive research method with quantitative approach. We employed secondary data obtained from the 73 sharia manufacturing companies that are registered in the Indonesia Sharia Stock Index (ISSI) during the period 2019-2021, which is determined using several criteria. Based on the analysis results, it is indicated that there is an effect of overreaction and liquidity on price reversals on Sharia Manufacturing shares listed on the ISSI during the period 2019-2021. This study highlighted that overreaction phenomenon is a major problem for investors and the company itself.
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How to Cite
Yoga, M. R., & Komariah, S. (2022). Price Reversal : Overreaction and Liquidity in Sharia Manufacturing Shares Listed in the Indonesia Sharia Stock Index (ISSI) for the Period 2019 – 2021 . Enrichment : Journal of Management, 12(4), 3075-3084. https://doi.org/10.35335/enrichment.v12i4.747
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Santosa, P. W., & Hosen, M. N. (2011). Probability of Price Reversal and Intraday Trading Activity for Low Banking Sector at Indonesia Stock Exchange. International Research Journal of Finance and Economics, 31-42.
Shefrin, H. (2000). Beyond Greed and Fear: Understanding Behavioral Finance and the Psychologgy of Investing. Harvard Business School Press.
Suhari, E., Trinugroho, I., Rahardian, R., & Ivada, W. (2011). Psychographic And Investor Behavior In Indonesia. Interdisciplinary Journal of Contemporary Research in Business, 296-302.
Singh, J. E., Babshetti, V., & Shivaprasad, H. N. (2021). Efficient market hypothesis to behavioral finance: A review of rationality to irrationality. Materials Today: Proceedings.
Vasileiou, E. (2021). Behavioral finance and market efficiency in the time of the COVID-19 pandemic: does fear drive the market?. International Review of Applied Economics, 35(2), 224-241.
Yull, E., & Kirmizi. (2012). Analisis Overreaction Hypothesis dan Pengaruh Ukuran Perusahaan, Bid-Ask Spread, dan Likuiditas Saham terhadap Fenomena Price Reversal. Pekbis Jurnal, 1-16.
Aharon, D. Y., & Siev, S. (2021). COVID-19, government interventions and emerging capital markets performance. Research in International Business and Finance, 58, 101492.
Ahmed, F. (2021). Assessment of capital market efficiency in COVID-19. European Journal of Business and Management Research, 6(3), 42-46.
Borgards, O., Czudaj, R. L., & Van Hoang, T. H. (2021). Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact. Resources Policy, 71, 101966.
Cox, D. R., & Peterson, D. R. (1994). Stock Return Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance. The Journal of Finance, 255-267.
DeBondt, W. F., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal Of Finance, 798-805.
Fama, E. F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. The Journal Of Finance, 383-417.
Hojaji, S. N., Yahyazadehfar, M., & Abedin, B. (2022). Machine Learning in Behavioral Finance: A Systematic Literature Review. The Journal of Financial Data Science, 4(3), 129-151.
Idxchannel.com. (2020, 8 24). idxchannel.com. Retrieved from idxchannel.com: https://www.idxchannel.com/market-news/laba-astra-international-turun-44-persen-jadi-rp55-triliun-gara-gara-pandemi
Jogiyanto, H. (2010). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.
kontan.co.id. (2021, 4 9). kontan.co.id. Retrieved from kontan.co.id: https://investasi.kontan.co.id/news/indeks-syariah-melesat-di-tengah-pandemi-covid-19-ini-sebabnya
Kusumawardani, S. (2001). Analisis Reaksi Berlebihan, Efek Bid-Ask, Firm Size, dan Likuiditas dalam Fenomena Price Reversal di Bursa Efek Jakarta. Tesis Universitas Diponegoro.
Liu, C., Wu, Y., & Zhu, D. (2022). Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market. Economic Modelling, 105910.
Magdalena, M., & Choery, M. (2008). Analisis Likuiditas Saham Sebelum dan Sesudah Stock Split Di Indonesia Pada Tahun 2008. STIE Nusa Megarkencana Yogyakarta, 29-39.
Martalena, & Malinda, M. (2011). Pengantar Pasar Modal. Yogyakarta: Andi.
Pompian, M (2012). Behavioral Finance and Wealth Management: How to Build Investment Strategies That Account for Investor Biases. Wiley.
Parveen, S., Satti, Z. W., Subhan, Q. A., & Jamil, S. (2020). Exploring market overreaction, investors’ sentiments and investment decisions in an emerging stock market. Borsa Istanbul Review, 20(3), 224-235.
Santosa, P. W., & Hosen, M. N. (2011). Probability of Price Reversal and Intraday Trading Activity for Low Banking Sector at Indonesia Stock Exchange. International Research Journal of Finance and Economics, 31-42.
Shefrin, H. (2000). Beyond Greed and Fear: Understanding Behavioral Finance and the Psychologgy of Investing. Harvard Business School Press.
Suhari, E., Trinugroho, I., Rahardian, R., & Ivada, W. (2011). Psychographic And Investor Behavior In Indonesia. Interdisciplinary Journal of Contemporary Research in Business, 296-302.
Singh, J. E., Babshetti, V., & Shivaprasad, H. N. (2021). Efficient market hypothesis to behavioral finance: A review of rationality to irrationality. Materials Today: Proceedings.
Vasileiou, E. (2021). Behavioral finance and market efficiency in the time of the COVID-19 pandemic: does fear drive the market?. International Review of Applied Economics, 35(2), 224-241.
Yull, E., & Kirmizi. (2012). Analisis Overreaction Hypothesis dan Pengaruh Ukuran Perusahaan, Bid-Ask Spread, dan Likuiditas Saham terhadap Fenomena Price Reversal. Pekbis Jurnal, 1-16.