KESAMAAN GERAK PADA PERUBAHAN INDEKS: BERBASIS KEUANGAN TRADISIONAL ATAU KEPERILAKUAN
ABSTRACT: One of basic tenets
in behavioral finance is the existence of investor biases in the market. Of the
ways that can be used to track investor biases in the market is through
comovement phenomenon. While traditional finance assumes that comovement can
exist due to fundamental relationship among assets, behavioral finance contends
that comovement can exist due to noise relationship. This study tests
comovement phenomenon in the context of index rebalancing in Indonesia using the
model proposed by Barberis, Shleifer, and Wurgler. In contrast to those in
developed countries, the results can not solidly prove that comovement
phenomenon around index rebalancing appears in Indonesia. Comovement patterns
are identified in LQ45 and JII although statistically not significant. Such
identified patterns more consistent with behavioral-based explanations that are
habitat and category views from Barberis et al.
Keywords: comovement, habitat,
category, behavioral finance, index rebalancing, unsynchronous trading
Penulis: Abdur Rafik
Kode Jurnal: jpmanajemendd140521
