Overreaction Phenomenon Research Articles

Research on Overreaction of CHINA GEM -- Based on Investor Sentiment

Abstract: As countries and regions become more interconnected through the Internet, the impact of infectious public health events is no longer confined to the local area, and it can also spread to other regions through the Internet. The COVID-19 broke out in early 2020 and soon formed a major public health event. Overreaction, one of the common anomalies in the financial market, often occurs after major events, so it is necessary to explore whether there is an overreaction during the epidemic. This paper studies the phenomenon of overreaction in the GEM market in the short, medium and long term. It compares the characteristics of overreaction in the GEM market before and after the epidemic. This paper finds an overreaction phenomenon in China's GEM market before and after the epidemic.

OVER REAKSI PASAR TERHADAP HARGA SAHAM PERUSAHAAN MANUFAKTUR DI BURSA EFEK JAKARTA

Overreaction phenomenon is one of the most complexity problem to make an efficient stock market. This research investigates are go public manufacturer company has an overreaction indicate, with year 2003 until 2005 scop. The methode that utilize threathen to Rahmawati and Tri (2005), calculation based on Jogiyanto (2000) formula. The finding of the research indicates there is overreaction that shows by loser portofolio to first rate winner portofolio. The comparison average cummulative abnormal return (ACAR) between loser portofolio and winner portofolio showing there’s significant difference. The research is also shown that winner portofolio is more overreacted than loser portofolio. The grouping of winner portofolio in three groups (A, B, C portofolio) and loser portofolio (D, E, F portofolio) according Rahmawati and Tri 2005), produce that Cumulative abnormal return (CAR) from loser portofolio not showing overreaction effect, only in winner portofolio showing overreaction effect.

OVERREACTION ANALYSIS OF WINNER AND LOSSER SHARE ON THE INDONESIA STOCK EXCHANGE (CASE STUDY OF LQ-45 INDEX 2016-2019 PERIOD)

This study, conducted with a robust and transparent methodology, aims to determine the occurrence of market overreaction on the Indonesian stock exchange. We analyze two distinct periods, semiannual and annual, from 2016 to 2019, focusing on the LQ-45 index. Our methodology involves classifying stocks into two portfolios based on the Cumulative Abnormal Return (CAR) value. The winner portfolio represents one-third of the stocks with the highest CAR value, while the loser portfolio represents one-third with the lowest CAR value. The presence of overreaction is indicated when the loser's portfolio outperforms the winner's. Our findings from this rigorous methodology, which we detail in the paper, reveal a clear and novel phenomenon of market overreaction on the Indonesian Stock Exchange, particularly on stocks included in the LQ-45 index, but notably, only in the semi-annual period. There is no evidence of market overreaction for the annual period, suggesting a nuanced market behavior that warrants further investigation.

Testing the efficient market hypothesis with Indonesian Islamic Stocks during the Covid-19 pandemic

Purpose: This study aims to identify the phenomenon of overreaction in Islamic stocks during the COVID-19 pandemic and understand how various pieces of information during the pandemic influenced investors to overreact, leading to market inefficiency. Research Methodology: This study employs two main methods: an event study focusing on the overreaction phenomenon in the Islamic stock market, and cross-sectional regression to analyze the factors that influence it. Results: Overreaction was observed in the winner's stock portfolio during the announcement of Indonesia's first COVID-19 case. However, during other significant events, such as the National Economic Recovery program issuance, the arrival of the vaccine, and the highest increase in daily positive cases, overreaction was seen in both the winner and loser stock portfolios. Factors such as abnormal returns, information leakage, and company ownership are identified as significant influencers of this overreaction. These factors were found to be negatively related to cumulative abnormal returns post-event, indicating their role in the overreaction phenomenon. Limitation: This study focuses on the overreaction phenomenon of Shariah stocks in the Jakarta Islamic Index (JII) during the COVID-19 pandemic in 10 selected events from October 1, 2019, to July 23, 2021. Contribution: This study offers insights into the behavior of Islamic stocks in Indonesia during the pandemic, helping stakeholders understand market inefficiencies during crises.

Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange

The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market.

Investigação da hipótese de sobrerreação e sub-reação com o sentimento do investidor

This paper aims to analyze the hypothesis of overreaction and under-reaction over the profitability of the Brazilian stock market. The theoretical review was based on the Market Efficiency and Behavioral Finance Hypothesis. Economática SA’s database was used, from where it was collected information about 1,283 stocks (571 active and 712 canceled) between January 1999 to December 2017, representing a sample of 228 months. It was applied the methodology developed by DeBondt and Thaler (1985) and Jegadeesh and Titman (1993), where portfolios composed of the upper and lower quintiles were created, based on the ranking of past stock returns. Through the means comparison test, it was possible to verify evidence that there is a phenomenon of overreaction for events of negative character after 6, 12 or 18 months of holding. However, no abnormal return was observed for overreaction of positive character events, nor any sub-reaction phenomena. Regarding investor sentiment, the results show that there is a relationship between it and the return of some strategies based on past return, contrary to Efficiency Market Hypothesis in its weak form.

Is there a Short-term Overreaction to Pandemic Covid-19? A Case Study of the Indonesia Islamic Capital Market

COVID-19 is an event that has harmed various sectors, one of which is the capital market sector. The high uncertainty caused by the COVID-19 outbreak caused investors to react to this event, which could cause an overreaction phenomenon. The events taken in this study sample are two events related to COVID-19. This study aims to analyze the phenomenon of overreaction in Islamic stocks and the factors that influence the phenomenon of overreaction by using the two-sample difference test method and cross-sectional regression. The results showed that in the lockdown event (Event 2) was proven that there was a significant overreaction phenomenon in the winner stock category. The factors that influence the overreaction phenomenon in this event are proven to be significantly and negatively influenced by leverage and market capitalization. In contrast, trading volume significantly and positively influenced the overreaction phenomenon.

Is there a short-term overreaction to pandemic COVID-19? A case study of the Indonesia Islamic Capital Market

COVID-19 is an event that has harmed various sectors, one of which is the capital market sector. The high uncertainty caused by the COVID-19 outbreak caused investors to react to this event, which could cause an overreaction phenomenon. The events taken in this study sample are two events related to COVID-19. This study aims to analyze the phenomenon of overreaction in Islamic stocks and the factors that influence the phenomenon of overreaction by using the two-sample difference test method and cross-sectional regression. The results showed that in the lockdown event (Event 2) was proven that there was a significant overreaction phenomenon in the winner stock category. The factors that influence the overreaction phenomenon in this event are proven to be significantly and negatively influenced by leverage and market capitalization. In contrast, trading volume significantly and positively influenced the overreaction phenomenon.

COMPARATIVE ANALYSIS OF MARKET OVERREACTION IN INDONESIA AND SINGAPORE STOCK EXCHANGE 2016-2019

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.

COMPARATIVE ANALYSIS OF MARKET OVERREACTION IN INDONESIA AND SINGAPORE STOCK EXCHANGE 2016-2019

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.

The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

The research intended to analyze the overreaction phenomenon in Islamic stocks due to COVID-19 as well as the influencing factors by utilizing different test methods and cross-sectional regression. The research employed data on the daily stock prices from August 9th, 2019 to October 26th, 2020 on the Jakarta Islamic Index (JII) and the stocks utilized during the period of events. The sample of this research utilized seven events related to COVID-19. The findings of this research reveals that the announcement of COVID-19 transmission and lockdown (Event 2) causes overreaction in winner stocks. Meanwhile, the overreaction phenomenon of loser stock is due to the announcement of the United States fiscal stimulus (Event 5) and the announcement of the PSBB (Event 6). Furthermore, the new normal announcement event (Event 7) triggers overreaction in the winner and loser stocks. The results indicate that Islamic stocks continue to have several transactions which are prohibited by the Fatwa DSN MUI in the short term. In this case, the variables that impact the overreaction phenomenon are shown to be substantially and negatively linked to leverage and market capitalization, while trading volume significantly influences and has a positive correlation with the overreaction phenomenon.

Islamic Stock Overreaction Phenomenon on Financial Statement: An Event Study

The purpose of this study is to examine whether there is an overreaction phenomenon in the announcement of financial statements during the observation period. The sample used in this study are stocks listed on the Indonesia Stock Exchange in the Jakarta Islamic Index (JII) category during the 2016-2018 period. T test results on the winner category stock prior to the announcement of the financial statement event which AAR value tends to be negative then AAR changed to positive on the date of the announcement of financial statements. On the contrary, AAR was seen to remain positive and statistically significant even to the 10th day after the announcement of the financial statements. After the announcement of the financial statements, investors do not appear to correct stock prices as an indication that they have overreacted. It’s shows that there was no reversal after the announcement of the financial statements. AAR loser and winner shares did not experience a reversal after the announcement of the financial statements. Results indicate that there is no overreaction phenomenon in the announcement of financial statements on the Indonesia Stock Exchange

Strategic Information Perturbation for an Online In-Vehicle Coordinated Routing Mechanism for Connected Vehicles Under Mixed-Strategy Congestion Game

The increased market penetration of route guidance tools–relaying real-time traffic information to drivers–can have damaging effects on transportation networks, including traffic congestion oscillation resulting from the overreaction phenomenon and the inability to control system performance. To address these issues, this study leverages V2I communication capabilities to integrate strategic real-time traffic information perturbation into an online, in-vehicle coordinated routing mechanism for connected vehicles using a mixed-strategy congestion game (CRM-M-IP). Under the CRM-M-IP, the routing decisions of all vehicles are coordinated to prevent overreaction. Additionally, the routing decisions for all vehicles are based on strategically perturbed traffic information (a convex combination between average and marginal link travel times), to ensure that the selfish route choices made by users also help improve system performance. We prove that low information perturbation levels can lead to high system performance gains with correspondingly low individual user optimality losses. From numerical experiments conducted on the Sioux Falls network, we observe that the CRM-M-IP leads to a system performance improvement greater than 3%, and average individual travel time reduction up to 3.5% as compared to the case with no perturbation. Moreover, we find that the average individual user optimality loss resulting from information perturbation is less than 2%. However, we find that when perturbation is high, some users can experience losses approaching 30%—illustrating the need to not over-perturb to ensure compliance of drivers.

The Immune Overreaction Phenomena in Severe Sars-cov-2 Human Infections

The immunology of Sars-cov-2 human infection is known to be complex. One of the facets of its complexity is the occurrence of immune over reaction phenomena in its severe forms. Such forms stands as a challenge for laboratory diagnostics and clinicians due its further complexity. The objective of the present mini-review was to explore these immune over-reaction phenomena [IORP ]among the severe infection forms .The noted IORP in severe covid-19 were as; two,the innate immno-thrombi [microthrombi] and the hyper-cytokine-mia[cytokine storm],one cross-road IORP as an unrestrained activation of complement system and two adaptive IORP as an autoimmune phenocopy[ Neutralizing autoantibody producing B cell autoimmune pheno-copy of the type I Interferons ] as well as the Viral sensor [ Dynamics of the MAIT immune cells ]. These phenomena are resolved on reaching the possible case recovery. Keywords: Adaptive ,cross-road ,innate ,immune ,over-reaction, phenomena ,sars-cov-2. DOI: 10.7176/JHMN/85-09 Publication date: January 31 st 2021

MARKET OVERREACTION PADA BURSA EFEK INDONESIA DENGAN SIZE EFFECT SEBAGAI VARIABEL PEMODERASI

The purpose of this study is to examine market overreaction phenomenon and market overreaction impact on abnormal return that moderated by size effect of LQ45 index between five years period (2015-2019). Secondary data on Indonesian Stock Exchange website are taken as samples. Wilcoxon test and interaction effects regression test are used to prove the evidences. The Wilcoxon test is developed in order to confirm that market overreaction occurs on winner and loser portfolio. The result shows that market overreaction occurs in the short and long term. Interaction effects regression test shows the size effect as moderating variable does not strengthen or weaken the relationship of market overreaction to abnormal returns. The findings show that company size has an independent effect, which means abnormal returns are more common in large companies. Size effect concept does not occur in the Indonesia Stock Exchange, especially the firms that always in the LQ45 index during the period of research.

SHORT-TERM OVERREACTION OF ISLAMIC STOCKS TO SPECIFIC EVENTS IN INDONESIA

Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks , Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, as well as the factors that influence the phenomenon, by using a two-stage testing method: two paired sampling and cross-sectional regression. Two specific events which occurred in 2016-2018, and which were followed by price reversal and return reversal, are studied. The results show that the election of Donald Trump as US President (Event 1) and the bombingsin Surabaya (Event 2) were significant in the overreaction in the winner stock category. The factors that influenced the two events were different. The overreaction to Trump’s election proved to be significantly influenced by information leakage, while the bombings in Surabaya significantly affected the company ownership category . The results indicate that Islamic stocks continue to have several transactions which areprohibited by the DSN MUI fatwa in the short term.

Trading hours extension and intraday price behavior

Although studies argue that periodic market closure induces the well-known intraday price overreaction, namely, a negative association between intraday returns and overnight returns, no study examines how the overreaction phenomenon is affected by extending trading hours. This study empirically examines it by investigating two Japanese stock futures whose trading hours have been continuously and asynchronously extended. Surprisingly, the overreaction is stronger when the extended-hours session is longer, and trading activity during the session is higher. The result indicates that the extension can worsen the overreaction phenomenon, highlighting the existence of the negative impact of trading hours extension on price efficiency.

Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions

Objective - Previous research by this author has stated that the market overreaction phenomenon occurs in the Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still debated along with the emergence of the other asset pricing models, such as the multifactor model proposed by Fama and French. The aim of this research is to test the ability of that model to explain the returns of portfolios formed under market overreaction conditions. Methodology/Technique - The data used in this study is the same as that of the previous research, which includes winner and loser portfolio data formed in market overreaction conditions, particularly on the Indonesian Stock Exchange, between July 2005 and December 2015. The multifactor models used include a three-factor model consisting of the factors of market, firm size, firm value, and a five-factor model with the added factors of profitability and investment. To obtain more accurate results, GARCH econometric models were also used in addition to standard test models for obtaining unbiased results. Findings - This research concludes that market factors (Rm-Rf), firm size (SMB), and firm value (HML), are able to explain the winner and loser portfolio returns well. However, when the factors of profitability (RMW) and investment (CMA) are added into the three-factor model, the RMW and CMA explained the returns negatively and inconsistently when the GARCH model is implemented. Novelty – These results imply that the three-factor model is more accurate than the five-factor model, contrary to the previous findings of Fama and French. Type of Paper - Empirical. Keywords: Fama and French Model; Five-factor Model; Market Overreaction; Three-factor Model; Portfolio. JEL Classification: G11, G12, G14

Winner Loser Anomaly in Indonesia

This research examines the market overreaction on the mining companies listed in Indonesia Stock Exchange from 2013 to 2017. The population in this research are all of the mining companies that list in the Indonesia Stock Exchange. The sample are selected according to the criteria of purposive sampling method. Market overreaction are measured by the abnormal return and indicated with ACAR loser portfolio outperformed of ACAR winner portfolio. The result shows that the ACAR loser portfolio doesn’t outperform of ACAR winner portfolio. The significance value of one sample t-test more than 0,05. This research conclude that the overreaction phenomenon on the mining companies in Indonesia Stock Exchange was not found.

Heterogeneous Society in Binary Choices with Externalities

We study a two-strategy model with negative externalities proposed by Schelling, in a dynamical setting where a society consists of two interacting populations with different behaviors derived from experiments with human participants. The resulting dynamics is a three-dimensional piecewise smooth map with one discontinuity, which inherits some of the characteristics of each homogeneous population dynamics, while others are lost and new ones emerge. We propose a technique to represent the dynamics on a bidimensional space and prove that the heterogeneous society dynamics can be obtained as a linear combination of the dynamics of the two homogeneous populations. As expected, complexity arises with respect to some aspects. Firstly, the number of equilibria expands to infinity and we were able to determine possible focal equilibria in the sense of Schelling. Secondly, when heterogeneity is introduced, the period adding structure of cycles is replaced by a period incrementing structure. Thirdly, the phenomenon of overreaction and cyclic oscillations can be mitigated even if it never completely disappears. We also derive the orbits of cycles of period two and provide numerical evidences of coexistence of cycles with different periods. It is worth noticing that with the heterogeneous society, the dynamics does not depend on the society aggregate choices only, rather on each population choice; neglecting it will make impossible to determine the future evolution of the system. The implications are important as heterogeneity makes the system path-dependent and a policy maker, considering aggregate society choice only, would be unable to make the proper decisions, unless further information is considered.