Fenomena Overreaction Jangka Pendek Saham Syariah di Indonesia terhadap COVID-19

Abstract

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.