THE PATTERN OF OVERREACTION IN TWO DIFFERENT ECONOMY CONDITIONS (Case study in the earliest stricken country and the longest recovering country during monetary crisis)

Ottemoesoe, Ridhotama Shanti Darsih and Malelak, Mariana Ing (2013) THE PATTERN OF OVERREACTION IN TWO DIFFERENT ECONOMY CONDITIONS (Case study in the earliest stricken country and the longest recovering country during monetary crisis). In: 8th Conference on Risk, Banking and Financial Stability, 24-09-2013 - 27-09-2013, Nusa Dua Bali - Indonesia.

PDF Download (18Kb)

Abstract

The primary aim of this research is to identify a phenomenon of overreaction – which is signified by price reversal – in bearish and bullish condition using two different countries that have different characteristics. The researcher employs two portfolios calculatingly selected of winner stocks and loser stocks over a period of time. The amount of overreaction of winner and loser and price reversal is calculated using Average Cumulative Abnormal Return (ACAR) portfolio. The research concludes that a significant overreaction occurs in bearish condition instead of in bullish condition either in Indonesia or Thailand. This paper also found that the respond of investors depend on type of information, weight of information and the state of the environment in which the news occurs.

Actions (login required)