CONTRARIAN INVESTMENT STRATEGY IN INDONESIA STOCK EXCHANGE MARKET
The purpose of this thesis is to test whether contrarian investment strategy generates positive significant abnormal return in the Indonesia Stock Exchange. According to the result of this thesis, contrarian investment strategy implemented on eight stocks in the sample during 2006-2009, did not generate positive significant abnormal returns, with 5% level of significance. This result is due to LQ45 index which dominated by banking and energy sectors which move Indonesia stock market. This result is due to LQ45 is dominated by banking and energy sector, so LQ45 represent the movement of those both stock sectors. It shows that Indonesia stock market movers are banking and energy sector which is different with US market which has technology (NASDAQ), industries (DOW JONES), small caps company (RUSSELLL500), and service as economic movers.
Keywords: Contrarian Investment Strategy, Efficient-Market Hypothesis, Stock Market Overreaction Hypothesis
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