Fenomena Overreaction Jangka Pendek Saham Syariah di Indonesia terhadap COVID-19
Date
2021-01-21Author
Syafitri, Widya
Effendi, Jaenal
Irfany, Mohammad Iqbal
Metadata
Show full item recordAbstract
COVID-19 merupakan peristiwa yang menimbulkan dampak buruk di
berbagai sektor salah satunya adalah sektor pasar modal. Kondisi ketidakpastian
yang tinggi akibat mewabahnya COVID-19 menyebabkan investor bereaksi
terhadap peristiwa tersebut sehingga dapat menimbulkan fenomena overreaction.
Peristiwa yang diambil dalam sampel penelitian ini sejumlah tujuh peristiwa terkait
COVID-19. Penelitian ini bertujuan untuk menganalisis fenomena overreaction
pada saham syariah dan faktor yang memengaruhinya dengan menggunakan
metode uji beda dan cross sectional regression. Hasil penelitian menunjukkan
bahwa Pengumuman transmisi COVID-19 dan lockdown (Event 2) menyebabkan
overreaction pada saham winner. Fenomena overreaction saham loser disebabkan
oleh pengumuman stimulus fiskal Amerika Serikat (Event 5) dan pengumuman
PSBB (Event 6). Peristiwa pengumuman new normal (Event 7) menyebabkan
saham winner maupun loser mengalami overreaction. Faktor yang memengaruhi
fenomena overreaction pada peristiwa tersebut terbukti secara signifikan dan
berhubungan negatif adalah leverage dan kapitalisasi pasar, sedangkan volume
perdagangan secara signifikan memengaruhi dan memiliki hubungan positif dengan
fenomena overreaction. COVID-19 is an event that has harmed various sectors, one of which is the
capital market sector. The high uncertainty caused by the COVID-19 outbreak
caused investors to react to this event, which could cause an overreaction
phenomenon. The events taken in this study sample are seven events related to
COVID-19. This study aims to analyze the phenomenon of overreaction in Islamic
stocks and the factors that influence the phenomenon of overreaction by using the
two-sample difference test method and cross-sectional regression. The results
showed that the announcement of COVID-19 transmission and lockdown (Event 2)
caused overreaction in winner stocks. The phenomenon of loser stock overreaction
was caused by the announcement of the United States fiscal stimulus (Event 5) and
the announcement of the PSBB (Event 6). The new normal announcement event
(Event 7) caused Islamic stocks both winner and loser to experience overreaction.
The factors that influence the overreaction phenomenon in this event are proven to
be significantly and negatively influenced by leverage and market capitalization,
while trading volume had a significant effect and positively influence the
overreaction phenomenon.
Collections
- UT - Syariah Economic [466]