Dampak disposition effect terhadap volume perdagangan saham ipo di Bursa Efek Indonesia = Impact of Disposition Effect on IPO Stocks Trading Volume in Indonesia Stock Exchange

Ayusari, Amelia (2018) Dampak disposition effect terhadap volume perdagangan saham ipo di Bursa Efek Indonesia = Impact of Disposition Effect on IPO Stocks Trading Volume in Indonesia Stock Exchange. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Investor keuangan adalah konsumen produk keuangan, yang ketika bertindak tentunya dipengaruhi oleh perilaku keuangan. Bias perilaku keuangan investor dapat berdampak pada pasar secara agregat. Oleh karena itu, perilaku investor menjadi bagian yang cukup penting pembahasannya guna memahami dampaknya yang dapat ditimbulkan di pasar. Investor harus berhati-hati dalam melakukan investasi yang mereka buat agar tidak terjadi kesalahan dalam melakukan perhitungan (judgement) sebab teori prospek menjelaskan bahwa orang akan memiliki kecenderungan irasional untuk lebih enggan mempertaruhkan keuntungan daripada kerugian. Pengembangan dari teori prospek ini melahirkan fenomena disposition effect, yakni perilaku menyimpang investor di mana investor terlalu cepat merealisasikan keuntungan dan menahan kerugian terlalu lama. Dalam Initial Public Offering (IPO) semua investor awal memiliki harga pembelian umum atau harga beli yang sama, dan efek disposisi harusnya paling kuat terlihat. Tingkat pertukaran (turnover) secara signifikan lebih rendah untuk saham IPO dengan tingkat pengembalian awal negatif (initial return), yakni ketika saham diperdagangkan di bawah harga penawaran, dan meningkat secara signifikan pada hari di mana harga melampaui harga penawaran untuk pertama kalinya. Pada tingkat harian, harga saham mencapai harga maksimum dan minimum baru yang menghasilkan peningkatan volume. Hasil ini menunjukkan bahwa harga referensi memiliki peran dalam aktivitas pasar saham agregat. / Financial investors are consumers of financial products, which every decision they make influenced by financial behavior. Bias of investors’ financial behavior can affect the market in aggregate. Therefore, investor behavior becomes an important discussion to understand the impact that can be generated in the market. Investors should be careful investing their stocks to not make a mistake in judgment because the prospect theory explains that people will have an irrational tendency to be more reluctant to risk profits rather than losses. The development of this prospect theory gave rise to the disposition effect phenomenon, which is the deviant behavior of investors in which they realize the profits too quickly and withhold losses for too long. In Initial Public Offering (IPO), all investors have the same general purchase price, which the disposition effect should be most strongly seen. The turnover is significantly lower for IPO stocks with negative initial return, is when the stock trades below the offer price, and increases significantly on the day the price exceeds the offer price for the first time. At the daily rate, the stock price reaches the new maximum and minimum prices resulting in an increase in volume. These results indicate that reference prices have a role in aggregate stock market activity.

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