Analisis Overreaction dan Likuiditas Terhadap Price Reversal Saham-Saham Syariah di Industri Manufaktur Pada Masa Pandemi Covid-19 di Indonesia
Abstract
News about the covid-19 pandemic that emerged in Indonesia at the beginning of the pandemic period in 2020 received different responses from investors. The graph of the Indonesia Sharia Stock Index (ISSI) shows that there is an excessive response from investors in response to news about the covid-19 pandemic, this overreaction is called overreaction which has provoked aprice reversal in the next period. This study aims to analyze the effect of overreaction and liquidity on price reversal during the peak of the covid-19 pandemic in Indonesia. The sample in this study is the ISSI manufacturing sector, there are 59 companies that meet the sample criteria. The research period is in 2019-2022. This study uses secondary data where the data used is daily data on Islamic stocks engaged in the manufacturing sector and ISSI data. The data analysis technique used in this study is multiple linear regression with panel data using Eviews 12 software. The results showed that stock price reversals occurred at two important moments during the covid-19 pandemic, while the results of hypothesis testing showed that overreaction and liquidity variables had an effect on price reversal.
Keywords: Overreaction, Liquidity, Price Reversal, ISSI, Covid-19
References
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https://www.machinevision.global/post/laju-pertumbuhan-industri-manufaktur
https://databoks.katadata.co.id/datapublish/2022/11/11/perkembangan-industri-keuangan-syariah-ri-tebaik-kedua-di-dunia-pada-2021
Azizah, K. N. (2021, Mei 27). detikhealth. Retrieved from health.detik.com: https://health.detik.com/berita-detikhealth/d-5584135/kilas-balik-perjalanan-awal-corona-di-indonesia
Bodie, K. &. (2008). Investasi (terj), Buku 1, Edisi Keenam. Jakarta: Salemba Empat.
Bodie, Kane, dan Marcus. (2021). Investment: Index Model. 12th Edition. McGraw Hill. New York
Cox, D. R., & Peterson, D. R. (1994). Stock Return Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance. The Journal of Finance, 255-267.
Daniel Kahneman, P. S. (1982). Judgment Under Uncertainty: Heuristics and Biases. Cambrigde: Cambridge University Press.
DeBont, W. &. (1985). Does the Stock Market Overreact? Journal Of Finance , 793-805.
Dewi, I. R. (2023, Maret 6). CNBC Indonesia. Retrieved from www.cnbc.indonesia.com: https://www.cnbcindonesia.com/tech/20230306075658-37-419082/bill-gates-ramal-pandemi-jauh-lebih-mematikan-setelah-covid
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Eduardus, T. (2001). Analisis Investasi dan anajemen Portofolio Edisi 1. Yogyakarta: BPFE.
Emma Febryanti, &. N. (2014). Pengaruh Likuditas, Bid Ask Spread, Earning dan Firm Size Terhadap Fenomena Price Reversal Pada Saham Winner-Losser. Jurnal Ilmu Manajemen, 502-512.
Fama, E. F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. The Journal of Finance, 383-417.
Flora Sianipar, R. &. (2017). Pengaruh Ukuran Perusahaan, Bid-Ask Spreak dan Volume Perdagangan Terhadap Price Reversal. Jurnal Performance, 8-17.
H. M. Latifah, D. F. (2021). Dampak Pandemi Covid-19 Terhadap Harga Saham Syariah di Indonesia. Jurnal Ilmiah Ekonomi Islam, 223-229.
H., J. (2017). Teori portofolio dan analisi investasi (Edisi 11). Yogyakarta: BPFE. Retrieved from Teori portofolio dan analisi investasi (Edisi 11).
Handayani, I. (2022, September 16). Investor.id. Retrieved from investor.id: https://investor.id/market-and-corporate/306929/bei-kembali-raih-penghargaan-the-best-islamic-capital-market
Hendrayati, H. (2014). Pengaruh Ukuran Perusahaan (Firm Size), dan Likuiditas Saham Terhadap Fenomena Price Reversal. Jurnal Riset Manajemen.
Heryana, T. (2016). Analisis Pembalikan Harga Saham di Indonesia Berbasis Overreaction hypothesis, Ukuran Perusahaan, Likuiditas Saham dan Bid-Ask Spread. Jurnal Riset Akuntansi dan Keuangan, 1211-1228.
Hiendarto, O. (2015). Analisis Market Overreaction di Bursa Efek Indonesia Pada Masa 100 Hari Kerja Jokwi-JK.
Hindayani, N. (2020). Analisis Reaksi Pasar Saham Atas Peristiwa Covid-19 di Indonesia. Jurnal Ilmiah Manahemen Ekonomi dan Akuntansi, 1645-1661.
Indonesia, M. V. (2022, November 8). Machine Vision. Retrieved from machinevision.global: https://www.machinevision.global/post/laju-pertumbuhan-industri-manufaktur
Intan, K. (2021, April 9). Kontan. Retrieved from investasi.kontan.coid: https://investasi.kontan.co.id/news/indeks-syariah-melesat-di-tengah-pandemi-covid-19-ini-sebabnya
Jogiyanto, H. (2010). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPPE.
Kaul, J. C. (1988). Time-Variation in Expected Returns. The Journal Of Business , 409-425.
Kementrian Perindustrian Republik Indonesia. (2022, Februari 10). Retrieved from kemenperin.go.id: https://kemenperin.go.id/artikel/23125/Industri-Manufaktur-Indonesia-Semakin-Ekspansif
Kirmizi, E. Y. (2012). Analisis Overreaction Hypothesis dan Pengaruh Ukuran Perusahaan, Bid-Ask Spread dan Likuiditas Saham Terhadapa Fenomena Price Reversal. Pekbis Jurnal, 1-16.
Magdalena, M., & Choery, M. (2008). Analisis Likuiditas Saham Sebelum dan Sesudah Stock Split Di Indonesia Pada Tahun 2008. STIE Nusa Megarkencana Yogyakarta, 29-39.
Mutia, A. (2022, November 11). databoks. Retrieved from databoks.katadata.co.id: https://databoks.katadata.co.id/datapublish/2022/11/11/perkembangan-industri-keuangan-syariah-ri-tebaik-kedua-di-dunia-pada-2021
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Prawoto, A. T. (2017). Analisis Regeresi Dalam Penelitian Ekonomi & Bisnis : Dilengkapi Aplikasi SPSS & Eviews. Depok: PT. Rajagrafindo Perkasa.
Rasmi M. Ramyakim, &. A. (2022). Didominasi Milenial dan Gen Z, Jumlah Investor Saham Tembus 4 Juta. Jakarta: Divisi Sekretaris Perusahaan, Komunikasi dan Edukasi.
Rismaeka Purnamasari Latjuba, &. R. (2019). Efek BId-Ask Spread, Firm Size dan Likuitias Dalam Fenomena Price Reversal Saham Winner dan Losser Kelompok Entitas Indeks LQ 45 Periode 2009-2011 di Bursa Efek Indonesia. Proceeding Pesat, 309-315.
Santosa, P. (2010). Memahami Overreaction Pasar Modal.
Santosa, P. W., & Hosen, M. N. (2011). Probability of Price Reversal and Intraday Trading Activity for Low Banking Sector at Indonesia Stock Exchange. International Research Journal of Finance and Economics, 31-42.
Sugiyono. (2018). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung: Alfabeta.
Yunita, E. (2012). Analisis Overreaction Hypothesis Pada Sektor Perushaan Properti . Jurnal Ilmiah Mahasiswa Manajemen: JUMMA.
https://www.machinevision.global/post/laju-pertumbuhan-industri-manufaktur
https://databoks.katadata.co.id/datapublish/2022/11/11/perkembangan-industri-keuangan-syariah-ri-tebaik-kedua-di-dunia-pada-2021
Published
2024-02-28
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