Overreaction Behavior Analysis on IDX80 Stocks During Bearish Market Conditions

(Study IDX During the Covid-19 Pandemic)

DOI

10.2991/aebmr.k.220128.010How to use a DOI?

Keywords

Overreaction Behavior; Winner-Loser Anomaly; Contrarian Strategy; Abnormal Returns; IDX 80; Bearish Market; Covid-19

Abstract

This study aims to identify the overreaction behavior indicated by the winner-loser anomaly. The overreaction behavior can be seen from the cumulative average residual return of the loser portfolio, which can outperform the winner portfolio with a significant value. The winner (loser) portfolio is selected with the highest cumulative abnormal return value (the lowest cumulative abnormal return value). Using market-adjusted return estimation, abnormal return is calculated by finding the difference between actual and market returns. The research found an overreaction behavior on the first day, which is supported by a reversal in each portfolio on the same day. Thus a strategy of contrarian can be applied with caution

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - David Kaluge
AU  - Ajeng Kinesti
PY  - 2022
DA  - 2022/01/28
TI  - Overreaction Behavior Analysis on IDX80 Stocks During Bearish Market Conditions
BT  - Proceedings of the Brawijaya International Conference on Economics, Business and Finance 2021 (BICEBF 2021)
PB  - Atlantis Press
SP  - 66
EP  - 72
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220128.010
DO  - 10.2991/aebmr.k.220128.010
ID  - Kaluge2022
ER  -