GEJALA OVERREACTION PADA SAHAM-SAHAM YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX DI BURSA EFEK JAKARTA

Abstract

Winner-loser anomaly explained that the shares are initially generate extreme positive abnormal
return (winner) or the extreme negative abnormal returns (loser) will experience a reversal,
especially for the loser stocks that outperform the stock winner.
The objective of this paper is to explore and analyze overreaction for stocks which include calculated
Islamic Index (Jakarta Islamic Index) for period 2005 - 2006. This paper used method of
De Bond  Thaler (1985), Dissainake (1997), Adler Manurung and Pondra Permana (2005) to
select sample. Winner and loser portfolio was formed based their return and also used market
adjusted excess returns.
The results show overreaction phenomenon occurred several times in the three-month observation
period (see calculation of CAAR). But these reactions do not have a high level of consistency
because overreactions lasted only one time so as not to represent other periods, even
the pickles winner overreaction does not show any symptoms (all grades pickles winner positive
three months period). Statistical analysis showed no anomaly overreactions on three-months
observation period.
Research using six monthly observation periods overreaction symptoms occur randomly in all
three replications. But the significance test results again showed the lack of overreaction at the
JII. So it can be concluded that the hypothesis of overreaction in the Jakarta Islamic Index in
the period January 2005 to December 2006 can not be proven statistically. Although there are
symptoms of overreaction, the reactions are not consistent and not significant.
Keyword: overreaction, Jakarta Islamic Index ( JII), return, winner, losser, market adjusted return, cumulative abnormal Return.