BLACK SWANS ANOMALIES TESTING ON INDONESIA STOCK EXCHANGE

Eman Christianto; Werner Ria Murhadi

doi:10.24123/jmb.v15i1.278

BLACK SWANS ANOMALIES TESTING ON INDONESIA STOCK EXCHANGE

Eman Christianto⁽¹⁾, Werner Ria Murhadi^(2*),

(1) Bussiness and Economic Faculty, Universitas Surabaya
(2) Faculty of Business and Economics. Universitas Surabaya, Indonesia
(*) Corresponding Author

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

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

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