PENGUJIAN PERILAKU OVERREACTION PADA SAHAM SYARIAH INDONESIA STUDI PADA JAKARTA ISLAMIC INDEKS (JII) PERIODE 2015- 2018

Abstract

The Indonesian capital market has developed very rapidly from year by year, including Indonesian Islamic stocks. In the capital market, there are deviations that can affect stock prices. One of them is overreaction. The existence of overreaction market by reversal between winner stock portofolio and loser stock portofolio which can be seen from the value of Average Abnorml Return (AAR). This study aimed to example the Overreaction behavior on Indonesian Islamic Stock Market. Data that used in this study are daily closing price of Jakarta Islamic Index (JII) during January 2015 – December 2018. The data collected includes 17 stocks that are consistently on the Jakarta Islamic Index (JII). This study divides the research period into 3 periods,12 months,6 months, and 3 months. This study used the different test (paired sample t - test) method to test overreaction behavior. The results of this study showed that there is Overreaction behavior on Jakarta Islamic Index (JII). The existence of this overreaction behavior illustrates that the Indonesian capital market has not been efficient.

Keywords: Overreaction, winner portfolio andportfolio loser, Jakarta Islamic Index