Analisis Abnormal Return Saham Winner Dan Saham Loser Untuk Mengidentifikasi Price Reversal (Studi Pada Perusahaan Yang Terdaftar Dalam Indeks Lq 45 Di Bei Periode 2014-2015)

Nadhira Nur Aulia • Topowijono Topowijono • Sri Sulasmiyati
Journal article Jurnal Administrasi Bisnis S1 Universitas Brawijaya • April 2016 Indonesia

Download full text
(Bahasa Indonesia, 9 pages)

Abstract

This study aims to find difference between cumulative average abnormal return of winner stock and loser stock in formation period with cumulative average abnormal return of winner stock and loser stock in examination period to identify the occurrence of price reversal. Price reversal is changes of stock price to the opposite direction. Abnormal return analysis is used for measuring market reactions that occur in the capital market. Price reversal occurs when there is market overreaction in the stock market. This research is a descriptive study using quantitative methods. The population in this study are companies that listed in LQ 45 Index Indonesia Stock Exchange for period 2014-2015. Sample selection technique is purposive sampling method. Based on the criteria that have been determined, there are 22 samples. Data analysis techniques in this study is using paired sample t-test. The results of this study showed that there has been price reversal that can be seen from the results of cumulative average abnormal return of winner stock in the formation period that became loser stock in the examination period and the results of the cumulative average abnormal return of loser stock in the formation period that became winner stock in the examination period.

Metrics

  • 236 views
  • 176 downloads

Journal

Jurnal Administrasi Bisnis S1 Universitas Brawijaya

Jurnal Administrasi Bisnis S1 Universitas Brawijaya merupakan jurnal ilmiah yang memuat artikel b... see more