Abstract
Decision making in the capital market is not always rational. It is due to the emotional involvement of investors, which is described through financial behavior. Investor decision making based on financial behavior is considered as a loss aversion contained in prospect theory. In this theory, the prospect of risk aversion behavior when the market is profitable, but this behavior becomes an obstacle for investors to get higher returns. This study aimed to analyze the risk avoidance behavior that limits investment decision making in Indonesian stock investors. Primary data were obtained from individual investor transactions on the IDX, and secondary data were in the form of daily stock data. Identification of risk aversion was carried out using a non-linear regression method. The measurement of psychological resistance was carried out through an independent sample t-test by measuring the difference between actual and expected returns. The results showed that Indonesia's capital market investors have a risk-averse behavior in the gain domain and risk-seeking in the loss domain. Risk-averse behavior could reduce investment productivity. Keywords: behavioral finance, decision-making, prospect theory, return, risk averse
Highlights
Decision making in the capital market is not always rational
It is due to the emotional involvement of investors, which is described through financial behavior
Investor decision making based on financial behavior is considered as a loss aversion contained in prospect theory
Summary
Penelitian ini menggunakan data primer dan sekunder. Data primer diperoleh dari investor saham individu pasar modal Indonesia yang diperoleh dari penyebaran kuesioner secara langsung dan melalui formulir online. Perbandingan antara actual return dan expected return ini mengindikasikan adanya peluang return untuk seorang investor sehingga diharapkan dapat menjawab hambatan dari risk averse. Seorang investor akan menghindar risiko atau risk averse pada kondisi untung dengan menjual saham. Perilaku investor akan menahan risiko atau risk seeker dengan menahan penjualan saham sehingga bersedia untuk menanggung risiko dikemudian hari (Arkes et al 2010; Tversky dan Kahneman, 1992). Perilaku penghindaran risiko dapat ini berpotensi untuk mengabaikan peluang mendapatkan return yang lebih tinggi. Hal ini didukung dengan Diaz dan Esparcia (2019) bahwa penghindaran risiko berlawanan dengan penetapan harga aset sehingga ketakutan investor terhadap ketidakpastian dapat membatasi perolehan return yang lebih tinggi. H1 : Investor pasar modal Indonesia akan berperilaku sebagai risk seeker saat mengalami kerugian pada return. H2 : Investor pasar modal Indonesia akan berperilaku sebagai risk averse saat mengalami keuntungan pada return
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