BLACK SWANS ANOMALIES TESTING ON INDONESIA STOCK EXCHANGE

Werner R. Murhadi, Eman Christianto

Abstract


This Research aim to know Black Swan Anomalies happen in BEI to stock indexes LQ45 make overreaction and make price reversal and winner-loser anomalies. to test abnormal return use One Sample T-test and to know overreaction so make price reversal and winner-loser anomalies use Paired Sample T-Test. Based on result and discussion concluded that Black Swan Anomalies come on in BEI for stock indexes and effect Black Swan Anomalies are bleed and blowup make happen overreaction so make price reversal and winner-loser anomalies happen in BEI for stock indexes LQ45.

Keywords


Black Swans Anomalies; overreaction; price reversal; anomali winner-loser

Full Text:

PDF

References


Benou, G. dan Richie, N. 2003. The Reversals of Large Stocks Price Declines: The Case of Large Firms. Journal of Ecomomis and Finance, Vol 27:19.

De Bondt, W.F.M. dan Thaler, R. 1985. Does the Stock Market Overeact?. The Journal of Finance, Vol 40:793-805.

Djojopranoto, R. R. dan Mahadwartha, P. A. 2015. Pengujian Bias Representatif: Gambler’s Fallacy, Halo Effect, dan Familiarity Effect pada Kondisi Pasar Modal Bullish dan Bearish. Surabaya: Universitas Surabaya.

Estrada, J. 2008. Black Swans and Market Timing: How Not to Generate Alpha. Journal of Investing,Vol 17: 20-34.

Estrada, J. 2009a. Black Swans, Market Timing and The Dow. Applied Economics Letter, Vol 16: 1117-1121.

Estrada, J. 2009b. Black Swans in Emerging Markets. Journal of Investing, Vol 18: 50-56.

Estrada, J. dan Vargas, M., 2012. Black Swans, Beta, Risk, and Return. Journal of Applied Finance, Vol 22: 77-89.

Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. The journal of Finance, Vol 25 no 2: 383-417.

Kusumawardhani, S. 2001. Analisis Reaksi Berlebihan, Efek Bid Ask, Firm Size, dan Likuiditas dalam Fenomena Price Reversal di Bursa Efek Jakarta. Semarang: Universitas Diponegoro.

Lavisolo, H.J. dan Leal, R.P.C. 2013. Black Swans In The Brazilian Stock Market. Pesquisa Operasional, Vol 33 no 2: 235-250.

Murhadi, Werner R., 2014, Day of The Week Effect: The Case of Mexico, Indonesia and Turkey, proceedings, Insyma XII, Makasar.

Ottemoesoe, R.S.D. dan Malelak, M.I. 2014. Fenomena Reaksi Berlebihan Atau Overreaction Pada Transaksi Saham Di Asia Tenggara. Forum Manajemen Indonesia 6 Medan

Peša, A.R. dan Brajković, A. (2016). Testing The ‘Black Swans Effect’ on Croatian Stock Market Between 2000 and 2013. Emerging Markets Journal, Vol 6 no 1.

Santoso, S. 2010. Statistik Multivariat Konsep dan Aplikasi dengan SPSS. Jakarta: PT Elex Media Komputindo.

Sniedovich, M. 2012. Black Swans, New Nostradamuses, Voodoo decision theories, and the science of decision making in the face of severe uncertainty. International Transactions in Operational research. Vol 19 no 1-2: 253-281.

Sulasmiyati, N.N.A.T.S. 2016. Analisa Abnormal Return Saham Winner Dan Saham Loser Untuk Mengidentifikasi Price Reversal. Jurnal Adminitrasi Bisnis, Vol 33 no 1.

Susiyanto, F. M. 1997. Market’s Overreaction In The Indonesian Stock Market, Kelola, Vol 6 no 16.

Taleb, N. N. 2007. The Black Swans: The Impact of the Highly Improbable. Get Abstract - The Random House Publishing Group, Inc.

Tandelilin, E. 2010. Portofolio dan Investasi Teori dan Aplikasi. Edisi pertama. Yogyakarta : Kanisius

Wilkinson. 2008. Tujuan sistem informasi akuntansi essential concepts and applications. New York: Jhon Wiley and Sons, inc

World Bank. 2014. Emerging Market. https://www.data.worldbank.org. (diunduh 27 Maret 2017).

Yudkowsky, E. 2008. Cognitive Biases Potentially Affecting Judgment of Global Risks. In Bostrom and Ćirković 2008 no 91–119.




DOI: https://doi.org/10.24123/jmb.v15i1.278

Refbacks

  • There are currently no refbacks.




Creative Commons LicenseGoogle ScholarDOI - Crossref
This work is licensed under a Creative Commons Attribution 4.0 International License. ISSN: 1412-3789. mabis statistics