ANOMALI OVERRACTION DI BEJ: Penelitian Saham Tekstil, Retailer dan Whole saler

Abstract

The overreaction hypothesis is often regarded as anomali in financial market. In this paper, we tried to identify the existence of this anomly in JSX, especially for textile, wholeseller and retail industri during 2001-2003. We apply the same techniques and methodology as De Bondt-Thaler research, in which market adjusted excess return were used to measure the overreaction anomaly. Based on our calculation, we couldnt confirmed the existence of the overreaction hypothesis either for 3 months periode and one year period. Therefore we reccommend investors to avoid contrararian strategy, especially for short term investment.