Perilaku Overconfidence Di Bursa Efek Indonesia (BEI) (Studi kasus pada Index LQ45 periode 2014-2016)

Abstract

This study purposed to identify overconfidence behavior investor in Indonesia Stock Exchange from 2014 until 2016. Overconfidence is a psychological bias that can cause investors to excessive trading as the effect of the belief that they have specific knowledge they do not actually have and making the overstimate investor (overestimating) his ability to evaluate an investment. Approach to see the behavior of overconfidence is to see the pattern of relationship between stock returns, stock volatility and transaction volume. In this study using the Vector Autoregression (VAR). The data used in this study are the stock return, volatility of the stock and the volume of monthly transactions. The samples used are companies that consistently enter Index LQ45 period 2014 until 2016. VAR analysis uses several methods to answer the research problem that is estimation of VAR model and Impulse Response Function. From the test results using VAR analysis, show that Indonesian investors experience overconfidence. The result of Vector Autoregression estimation shows that the relationship between return and trade volume is not significant, but gives positive contribution based on coefficient value. While the relationship between volatility with trade volume showed a significant positive result. Keywords: Overconfidence, Stock Return, Trading Volume, Volatility, Vector Autoregression (VAR), Impulse response function This study purposed to identify overconfidence behavior investor in Indonesia Stock Exchange from 2014 until 2016. Overconfidence is a psychological bias that can cause investors to excessive trading as the effect of the belief that they have specific knowledge they do not actually have and making the overstimate investor (overestimating) his ability to evaluate an investment. Approach to see the behavior of overconfidence is to see the pattern of relationship between stock returns, stock volatility and transaction volume. In this study using the Vector Autoregression (VAR). The data used in this study are the stock return, volatility of the stock and the volume of monthly transactions. The samples used are companies that consistently enter Index LQ45 period 2014 until 2016. VAR analysis uses several methods to answer the research problem that is estimation of VAR model and Impulse Response Function. From the test results using VAR analysis, show that Indonesian investors experience overconfidence. The result of Vector Autoregression estimation shows that the relationship between return and trade volume is not significant, but gives positive contribution based on coefficient value. While the relationship between volatility with trade volume showed a significant positive result. Keywords: Overconfidence, Stock Return, Trading Volume, Volatility, Vector Autoregression (VAR), Impulse response function