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3_Pendukung_2

3_Pendukung_2

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Published by: hjmmy on Sep 21, 2012
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08/28/2013

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vi
Universitas Indonesia
ABSTRAK
 Nama : Haensri JemmyProgram Studi : Magister ManajemenJudul : Analisis
Overreaction
Saham Sektor Industri Dasar dan Kimiadi Bursa Efek Indonesia Periode 2006-2011.Tesis ini membahas gejala
overreaction
di Bursa Efek Indonesia secara khususterhadap 38 saham sektor industri dasar dan kimia selama periode 2006-2011.Metode yang digunakan adalah metode komparatif antara portofolio
winner 
dan
loser 
. Periode penelitian dibagi menjadi 2, yaitu 6 bulan dan 12 bulan. Penelitianini menemukan beberapa gejala
overreaction
, baik pada observasi 6 bulanmaupun 12 bulan, namun secara statistik tidak signifikan. Selain itu jugaditemukan bahwa gejala
overreaction
bersifat asimetris, yaitu lebih terlihat padasalah satu portofolio. Hasil penelitian menunjukkan Bursa Efek Indonesia efisiendalam bentuk lemah, sehingga penerapan strategi kontrarian diperkirakan akanmerugikan untuk diterapkan pada segmen pasar ini.Kata kunci:
overreaction
, industri dasar dan kimia,
efficient market hypothesis,contrarian investing
.
 
 
vii
Universitas Indonesia
 ABSTRACT 
  Name : Haensri JemmyStudy Program : Master of Management Title : Indication of Overreaction in Indonesian Stock Exchange case: Basic Industry and Chemical Sector during 2006-2011.The purpose of this study is to examine the indication of overreaction in Indonesian Stock Exchange with case study Basic Industry and Chemical sector during 2006-2011. Methods employed in this thesis is comparative method whichcomparing between winner and loser portfolios. Time horizons in this researchwere separated into two periods, 6 and 12 months. As result, the research found that overreaction indications were evidence, but no significance statistically. Theresearch also found that overreaction is asymmetrical, which seems more oftenappear in the loser portfolios. This result may support that Indonesian Stock  Market is efficient in weak form, thus contrarian investing strategy would consider as not profitable to implement.Keyword: overreaction, basic industry and chemical, efficient market hypothesis,contrarian investing.
 
 
viii
Universitas Indonesia
DAFTAR ISI
HALAMAN JUDUL …………………………………………………………… iLEMBAR PERNYATAAN ORISINALITAS ………………………………... iiLEMBAR PENGESAHAN …………………………………………………... iiiKATA PENGANTAR ………………………………………………………… ivLEMBAR PERSETUJUAN PUBLIKASI KARYA ILMIAH ………………… vABSTRAK …………………………………………………………………….. viDAFTAR ISI …………………………………………………………………. viiiDAFTAR GAMBAR …………………………………………………………… xDAFTAR TABEL ……………………………………………………………... xiDAFTAR RUMUS …………………………………………………………… xiiDAFTAR LAMPIRAN ………………………………………………………. xiii1.
 
PENDAHULUAN
………………………………………………………… 11.1
 
Latar Belakang ………………………………………………………… 11.2
 
Perumusan Masalah …………………………………………………… 31.3
 
Tujuan dan Manfaat Penelitian ……………………………………….. 41.4
 
Batasan Penelitian ….…………………………………………………… 41.5
 
Sistematika Penelitian …………………………………………………. 5
2.
 
LANDASAN TEORI
……………………………………………………… 6
 
2.1 Hipotesis Pasar Modal yang Efisien dan
 Random Walk 
………………. 62.2 Faktor Efisiensi Pasar ………………….……………………………… 82.3 Implikasi EMH terhadap Strategi Investasi …………………………. 102.4 Manajemen Investasi dalam Pasar yang Efisien …..………………… 112.5 Strategi Portofolio dan Anomali Pasar Modal ........................................ 132.6
Test of Predictability in Stock Market Return
………………………… 162.7
 Event Study
……………………………….………………………….. 182.8
Overreaction
…..…………………………………………………….. 192.9
 Behavioral Finance .
…………………………………………………. 232.10
Contrarian Investing
……………………………………………….. 242.11 Karakteristik Industri Dasar dan Kimia …………………………….. 25
 
3.
 
METODE PENELITIAN
………………………………………….. 28
 
3.1 Objek Penelitian ……………………………………………………… 283.2 Variabel Penelitian …………………………………………………… 293.3 Teknik Pengumpulan Data …………………………………………… 293.4 Teknik Pengolahan Data …………………………………………… 293.5 Teknik Analisis Data …………………………………………………. 313.6 Hipotesis Penelitian ….………………………………………………… 353.7 Alur Pikir .……………………………………………………………… 38
4.
 
HASIL PENELITIAN DAN PEMBAHASAN
………………………… 39
 
4.1 Gambaran Umum Objek Penelitian …………………………………. 394.2 Prosedur Analisis …………….……………………………………… 414.3 Gambaran Periode Penelitian ..………………………………………. 414.4 Analisis Hasil Penelitian ……………………………………………. 424.4.1 Observasi Tahunan ..…………………………………………… 444.4.2 Observasi Semesteran ………………………………………….. 524.5 Pembahasan Hasil Penelitian ……………………………………..…… 66

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