PERILAKU OVERCONFIDENT DALAM MEMPREDIKSI HARGA SAHAM DI PASAR MODAL SYARIAH INDONESIA : SELF DECEPTION THEORY DALAM STUDI KSPERIMENTAL

RIKA LESTARI, WINDA (2022) PERILAKU OVERCONFIDENT DALAM MEMPREDIKSI HARGA SAHAM DI PASAR MODAL SYARIAH INDONESIA : SELF DECEPTION THEORY DALAM STUDI KSPERIMENTAL. [Disertasi]

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Abstrak (Berisi Bastraknya saja, Judul dan Nama Tidak Boleh di Masukan)

Tujuan penelitian ini untuk menguji secara empiris perbedaan kesalahan prediksi harga saham syariah antara investor overconfidence tinggi (IOT) dan investor overconfidence rendah (IOR) di sesi Pra-Pembukaan perdagangan, sesi Pemberian Panduan Prediksi, sesi Berita bagus, dan sesi berita buruk di Pasar Modal Syariah Indonesia. Teori yang digunakan dalam menguji hipotesis penelitian ini adalah Teori Self deception (Teori Penipuan Diri) dan Teori Keuangan Keperilakuan (Behavior Finance), dan hasil- hasil penelitian sebelumnya. Jenis penelitian ini menggunakan eksperimen kuasi dengan two group pretest-post test design. Desain penelitian ini merupakan campuran antara between dan within subject design. Desain penelitian ini juga mengklasifikasikan investor menjadi tiga kelompok berdasarkan skor terlalu percaya diri (overconfidence), yaitu Overconfidence tinggi, overconfidence moderat, dan overconfidence rendah. Sampel saham adalah Indek JII 30 tahun 2020, Sampel Responden mahasiswa FEB IIB Darmajaya yang lolos uji Kalibrasi tingkat overconfidence. Eksperimen dilakukan dalam 9 sesi dalam waktu 4 jam. Uji hipotesis menggunakan one way Anova, independent sample t test, dan Paired sample t test. Keterbaruan penelitian ini adalah menguji investor berperilaku overconfidence terjadi di pasar modal syariah dalam memprediksi harga saham dengan metode eksperimen, dan membuktikan self deception theory (teori Penipuan diri) pada investor di pasar modal syariah. Hasil analisa menemukan bahwa investor overconfidence tinggi (IOT) secara konsisten melakukan kesalahan prediksi harga saham lebih tinggi dibandingkan investor overconfidence rendah (IOR) di sesi Pra-pembukaan, sesi Berita Bagus dan sesi Berita Buruk. Investor mengkonfirmasi teori penipuan diri. Tetapi pada sesi pemberian panduan prediksi, IOT menjalani proses belajar yang baik dan mampu menurunkan kesalahan harga sahamnya. IOT konsisten lebih besar volume perdagangannya. Dan penelitian ini menegaskan bahwa investor overconfidence tinggi tidak selalu mengalami kerugian perdagangan. Kata kunci : Perilaku overconfidence, teori penipuan diri, kesalahan prediksi harga saham, volume perdagangan, laba rugi perdagangan. The aim of this research is to empirically test the difference Islamic stock price prediction errors between the high overconfident investor (HOI) and lower overconfident investor (LOI) in the pre-opening trading session, giving prediction guide session, good news session, and bad news session in the Indonesian Islamic Capital Market. The theories used in testing this research hypothesis are the theory of self-deception, the theory of behavioral finance, and the results of previous studies. This type of research uses a quasi-experimental with a two-group pretest-posttest design. This research design is a mixture of between and within-subject design. The design of this study classifies the investors into three groups based on the overconfidence score namely high overconfidence, moderate overconfidence, and low overconfidence. The stock sample is the JII Index 30 in 2020, the respondent sample is FEB IIB Darmajaya students who pass the overconfidence level calibration test. The experiment was run in 9 sessions for 4 hours. The hypothesis testing used one way Anova, independent sample t test, dan Paired sample t test. The novelty of this study is to test the investors’ overconfidence behavior that occurs in the Islamic capital market in predicting stock prices with the experimental method and to prove the self-deception theory on investors in the Islamic capital market. The result of the analysis found that the high overconfidence investor (HOI) consistently makes higher stock price prediction errors than the low overconfidence investor (LOI) in the pre-opening session, good news session, and bad news session. The investors confirm the theory of self-deception. However, during the prediction guide session, HOI underwent a good learning process and is able to reduce the stock price errors. HOI has a larger trading volume consistently. And this research confirms that high overconfident investors do not always experience trading losses. Keywords: Overconfidence behavior, self-deception theory, stock price prediction errors, trading volume, trading profit and loss.

Jenis Karya Akhir: Disertasi
Subyek: 300 Ilmu sosial > 330 Ekonomi
Program Studi: Fakultas Ekonomi dan Bisnis > Doktor Ilmu Ekonomi S3
Pengguna Deposit: 2203188842 . Digilib
Date Deposited: 27 Jun 2022 03:35
Terakhir diubah: 27 Jun 2022 03:35
URI: http://digilib.unila.ac.id/id/eprint/63932

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