EKSISTENSI ANOMALI WINNER-LOSER SAHAM INDIVIDUAL DAN SAHAM INDUSTRI DI PASAR MODAL INDONESIA

Abstract

The purpose of this research is to analyze the existence of winner-loser anomaly in Indonesian Capital Market, and one of many other researches that would contribute on the anomaly phenomenon in the capital market. Data is analyzed by the abnormal return of stock portfolio and tested by mean difference statistical test. The result of the data analysis shows that winner-loser anomaly exists in the Indonesian Capital Market. Average abnormal return of the winner portfolio with 3 months formation period and test period 3 months afterward shows a negative and statistically significant difference for various individual and industrial stock portfolio groups. In the contrary, the average abnormal return of loser portfolio with 3 months formation period and test period 3 months afterward shows a positive and statistically significant difference for various individual and industrial stock portfolio groups.