Abstract
This study aims to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange which is classified as an emerging market and the Singapore Stock Exchange which is classified as a developed market. This research was conducted in a weekly period during 2016-2019. This study uses sample included in the LQ-45 index for the Indonesia Stock Exchange and the top 30 market cap for the Singapore Stock Exchange. This research found that there was a market overreaction in the Indonesia Stock Exchange, especially the loser portofolio which experienced the strongest reversal. Meanwhile, the significance value in the one sample t-test for the average cumulative abnormal return difference value is not significance. While the results of research on the Singapore Stock Exchange found no market overreaction phenomenon as indicated by a negative and insignificance average cumulative abnormal return difference. The result showed that the Indonesia Stock Exchange has not been efficient where investors tend to overreact in responding to information while investors on the Singapore Stock Exchange are rational.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: INTERNATIONAL JOURNAL OF ECONOMICS, BUSINESS AND APPLICATIONS
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
