Disposition Effect, Perilaku Perdagangan Investor, dan Prediksi Harga Saham Masa Depan: Sebuah Studi Eksperimen

• Main Authors: , Tastaftiyan Risfandy, SE., , Dr. Mamduh M. Hanafi, MBA
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2011
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/88893/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=50868
• Institution: Universitas Gadjah Mada

Disposition Effect is a theory or phenomenon in behavioral finance that describes the tendency of investors to sell winner stocks too early and hold loser stocks too long. The main purpose of this study was to test whether there is any disposition effect on investor themselves when responding to short-run and long-run return of a stock. Disposition effect will be associated with contrarian trading and momentum trading as investors' behavior or trading strategy. Disposition effect will also be associated with the predictions of investors about future stock prices and investors holding time of an asset it has. This was an experimental study consisting of two sessions by using student subjects from the Diploma Program in the Faculty of Economics and Business Universitas Gadjah Mada. In total 309 subjects who were taking lecture in capital markets and portfolio practicum. Participants are grouped into two groups: investors group A and investor groups B. At the first session, the group investor A were asked to conduct stock trading transactions, while group B investors group B are asked to predict future stock prices. At the next session, the two investors are asked to make a decision on the winner and loser assets owned. The results showed that investors A tend to be momentum traders when responding to short-run returns and be a contrarian trader or experienced disposition effect when responding to long-run returns. Investor B who make prediction decisions using only short-term return, in contrast to investors who make transactions. Other results indicate that there is a difference between transaction and prediction decisions taken by investors. The latest results of this study was derived from experimental second session that there is a difference holding time between winner and loser assets owned by investors.