This study aims to see the impact of the implementation of Asian games 2018 event towards stock price movement. This study tested the occurrence of market reaction before and after the implementation of Asian games 2018 event. This study is an event study using explanatory methodology with quantitative approach. The population that is used in this study is companies that are listed on Indonesia Stock Exchange. Samples that are used in this study are 45 companies indexed by LQ45. Data sources that are used are from Indonesia Stock Exchange which is IDX Composite and Closing price one week before and one week after Asian Games 2018. Hypothesis is tested using Paired Sample T-Test to see the difference of abnormal return before and after Asian games 2018 for both winner stock portfolio and loser stock portfolio. The result of this study shows that market overreaction does not occur. Loser stock portfolio does not sustain price reversal to turn into winner stock portfolio and vice versa. This indicates that there is no anomaly occurs in efficient market over the event, winner stock remains to be winner stock and loser stock remains to be loser stock.
1. Agrawal, J, and W.A. Kamakura (1995). The Economic worth of celebrity endorses: An event study analysis. Journal of Marketing Vol. 59 Page 56-62.
2. Ali, Ruhaini et al. (2011). Stock Market Overreaction and Trading Volume: Evidence from Malaysia. Asian Academy of Management Journal of Accounting and Finance. Vol. 7 No. 2 Page 103 -119
3. Beaver, W. H. (2002). Perspective on Recent Capital Market Research. Accounting Review Vol. 77 No.2. Page 453-474.
4. Brown, S.J., and J.B. Warner (1985). Usin Daily Stock Returns – The Case of Event Studies. Journal of Financial Aconomics. Vol. 14 Page 3-31.
5. Clare, A., and Thomas. S. (1995). The Overreaction Hypothesis and The UK Stock Market. Journal of Business Finance and Accounting, 22 (7), 961-973.
6. DeBond, W.F.M., and R.Thaler. (1985). Does the Stock Market Overreact? Journal Of Finance. Vol. 40 Page 793-805
7. Werner F. M. de Bondt and Richard H. Thaler (1987). Further Evidence On Investor Overreaction and Stockmarket Seasonality. Journal Of Finance. Vol. 42 No. 3 Page 557-581.
8. Dinawan, M. R. (2007). Analisis Overreaction Hypothesis, dan Pengaruh Firm Size, Likuiditas & Bid-Ask Spread Terhadap Fenomena Price Reversal Di Bursa Efek Jakarta. Tesis: Program Studi Magister Manajemen Universitas Diponegoro.
9. Dyckman, Thomas et al. (1984). Comparison of event study methodologies using daily stock returns: A simultation approach. Journal of Accounting Research Vol. 22, 1-31.
10. Fama, E.F. (1997). Market Efficiency, Long-Term Return, and Behavioral Finance. Journal Of Financial Economics Vol. 49, 283-306.
11. Fitriyani, Indah and Maria M.R. Sari. (2013). Analisis Januari Effect pada kelompok Saham Indeks LQ-45 di Bursa Efek Indonesia Tahun 2009-2011. E-Jurnal Akuntansi Universitas Udayana Vol.4 No.2 Page 421-438.
12. Gumanti, T.A. and E.S. Utami. (2002). Bentuk Pasar Efisien dan Pengukurannya. Jurnal Akuntansi dan Keuangan Vol. 4 No.1 Page 54-68.
13. Hartono, J. (2005). Pasar Efisien Secara Keputusan. Gramedia Pustaka Utama: Jakarta.
14. Jogiyanto H.M.M.B.A. Akt. (2014). Teori Portofolio dan Analisis Investasi. BPFE Yogyakarta.
15. Hsieh, H. Hsing, and Kathleen, H. (2011). Timing of Mean Reversals on JSE Securities Exchange (JSE): the Case of South Africa. Journal of Applied Finance and Banking. Vol. 1 (1) Page 107 -130.
16. Hiendarto, O. (2015). Analisis Market Overreaction Di Bursa Efek Indonesia Pada Masa 100 Hari Kerja Jokowi-Jk. Skripsi: Fakultas Ekonomi dan Bisnis Universitas Brawijaya.
17. Jemmy, H. (2012). Analisis Overreaction Saham Sektor Industri Dasar dan Kimia di Bursa Efek Indonesia Periode 2006-2011. Tesis: Fakultas Ekonomi Universitas Indonesia.
18. Khotari, S.P. (2001). Capital Market Research in Accounting. Journal of Accounting Economics. Vol. 31 Page 105-231.
19. Kritzman, M. P. (1994). What Practitioners Need to Know About Event Studies. Financial Analyst Journal. Vol. 50 Issue 6 Page 17-20.
20. Lo, Andrew W. (2004). The Adaptive Market Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management Page 1-31. August 15, 2004.
21. Pratama, I.G.S.et al. (2016). Analisis Overreaction Pasar pada Saham Winner dan Loser di Bursa Efek Indonesia. E-Jurnal Ekonomi dan Bisnis Universitas Udayana 5.12. Page 4387-4414.
22. Rosenberg, Barr et al. (1985). Persuasive Evidence of Market Inefficiency. Journal Of Portofolio Management. Page 9-17.
23. Sabina dan Sulasmiyati. (2018). Analisis Market Overreaction Terhadap Pemilu Amerika 2016 dan Trump Effect (Studi kasus perusahaan yang terdaftar dalam LQ45 periode agustus 2016 – Januari 2017. Jurnal Administrasi Bisnis (JAB), 55(2), 15-23.
24. Tandelin, E. (2010). Portofolio dan Investasi: Teori dan Aplikasi. Kanisius: Yogyakarta.
25. Zarowin, P. (1990). Size, Seasonality, and Stock Market Overreaction. Journal of Financial and Quantitative Analysis. 25(1), 113-125.
To cite this article: Praditha, R., Haliah, Habbe, A. H., Rura, Y. (2019). Market overreaction on LQ45 stock index before and after Asian Games 2018, International Journal of Academic Research in Accounting, Finance and Management Sciences 9 (2): 117-125.
Copyright: © 2019 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode
