Anomaly Analysis of Winner-Looser Stocks IDX30 and LQ45 Overreaction Amid the Covid-19: What Can Learn?

DOI

10.2991/978-2-494069-39-8_10How to use a DOI?

Keywords

Price reversal; overreaction; winner-looser anomaly; abnormal return; IDX30; LQ4

Abstract

The purpose of this research was to investigate the overreaction anomaly in stocks listed on the IDX30 and LQ45 amid the COVID-19 Pandemic in 2020. An overreaction anomaly or price reversal occurs when looser stocks outperform winner stocks, which can be seen from the ACAR value of each stock. The samples used in this study are companies listed on the IDX30 and LQ45 period February-July 2020 and the period August-January 2021. This is a comparative study, hence using a qualitative approach, while the method study is the event study. The measurement used to estimate the market reaction to the published information is the abnormal return of each stock. The results showed that there was an overreaction anomaly in some test periods which was indicated by the ACAR value of looser stock that could outperform the ACAR value of winner stock. The results of the independent sample t-test statistical test showed that the ACAR value of winner stock had a significant difference from the ACAR value of loser stock. The implications of the research are investors should be aware toward risk potentially to macro economy shock and investors to assess rationally and wisely in making decisions even to blue chips stocks.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Fitri Susilowati
AU  - Hari Purnama
AU  - Arif Sudaryana
AU  - Restu Tita Ernasari
PY  - 2022
DA  - 2022/12/15
TI  - Anomaly Analysis of Winner-Looser Stocks IDX30 and LQ45 Overreaction Amid the Covid-19: What Can Learn?
BT  - Proceedings of the 1st UPY International Conference on Education and Social Science (UPINCESS 2022)
PB  - Atlantis Press
SP  - 102
EP  - 116
SN  - 2352-5398
UR  - https://doi.org/10.2991/978-2-494069-39-8_10
DO  - 10.2991/978-2-494069-39-8_10
ID  - Susilowati2022
ER  -