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Investment Horizon to Investment Decision and Mean Reversion: Indonesian Perspective

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 10 No. 1 (2008) · pp. 77–112

DOI
10.22146/gamaijb.5587
ISSN
2338-7238, 1411-1128
Published
2008-01-12
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

This study has two research objectives: (1) to find evidence whether investment decisions (allocation of funds in each asset in a portfolio) of Indonesian investors in the short investment horizon diverge with their investment decisions in the long investment horizon, and (2) to examine the belief of Indonesian investors in the mean reversion. This study analyzes the investment horizon from a behavioral point of view by examining the influence of investment horizon on investment decision and mean reversion in Indonesia. We employed the students of Master of Science, Master of Management, and Doctorate Programs at the Faculty of Economics and Business, Universitas Gadjah Mada, Indonesia as the sample in this research. Of the 217 questionnaires delivered, 172 questionnaires were completely filled and utilized in this study.The main findings of this study are as follows: (1) it is significantly proved that Indonesian investors are inclined to assume higher portfolio risk in the longer investment horizon than that in the shorter investment horizon; (2) it is very interesting to see that on average, the investors are inclined to increase their allocation in the risk-free asset in the longer investment horizon although the difference between the risk-free asset holding in the short investment horizon and that in the long investment horizon is not significant; (3) the framing effect significantly influences the investment decisions, both in short investment horizon and in long investment horizon; (4) there is a tendency for the respondents to show a willingness to assume higher portfolio risk when they received the questionnaires that provided the historical five-year returns on the first page; (5) investors predict an asset gaining 50 percent in the first year to continuously gain in the next four years while expecting an asset losing 25 percent in the first year to continuously loss in the next four years.

Keywords

Collaboration network of the authors

8 authors · 10 co-authorship links · 2 across different organisations

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  • Universitas Gadjah Mada
  • Sanata Dharma University
  • Central University of Finance and Economics
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Jogiyanto HartonoUniversitas Gadjah Mada1
Mamduh Mahmadah HanafiUniversitas Gadjah Mada1
Setiyono SetiyonoUniversitas Gadjah Mada1
Lukas PurwotoSanata Dharma University1
Shenghui TongCentral University of Finance and Economics1
Leo Indra WardhanaUniversitas Gadjah Mada1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Investment Horizon to Investment Decision and Mean Reversion: Indonesian Perspective</dc:title>
	<dc:creator>Junarsin, Eddy</dc:creator>
	<dc:creator>Tandelilin, Eduardus</dc:creator>
	<dc:subject xml:lang="en-US">investment horizon; investment decision; mean reversion</dc:subject>
	<dc:description xml:lang="en-US">This study has two research objectives: (1) to find evidence whether investment decisions (allocation of funds in each asset in a portfolio) of Indonesian investors in the short investment horizon diverge with their investment decisions in the long investment horizon, and (2) to examine the belief of Indonesian investors in the mean reversion. This study analyzes the investment horizon from a behavioral point of view by examining the influence of investment horizon on investment decision and mean reversion in Indonesia. We employed the students of Master of Science, Master of Management, and Doctorate Programs at the Faculty of Economics and Business, Universitas Gadjah Mada, Indonesia as the sample in this research. Of the 217 questionnaires delivered, 172 questionnaires were completely filled and utilized in this study.The main findings of this study are as follows: (1) it is significantly proved that Indonesian investors are inclined to assume higher portfolio risk in the longer investment horizon than that in the shorter investment horizon; (2) it is very interesting to see that on average, the investors are inclined to increase their allocation in the risk-free asset in the longer investment horizon although the difference between the risk-free asset holding in the short investment horizon and that in the long investment horizon is not significant; (3) the framing effect significantly influences the investment decisions, both in short investment horizon and in long investment horizon; (4) there is a tendency for the respondents to show a willingness to assume higher portfolio risk when they received the questionnaires that provided the historical five-year returns on the first page; (5) investors predict an asset gaining 50 percent in the first year to continuously gain in the next four years while expecting an asset losing 25 percent in the first year to continuously loss in the next four years.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2008-01-12</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5587</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5587</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 10, No 1 (2008): January - April; 77-112</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5587/4558</dc:relation>
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