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Short-Term Overreaction of Islamic Stocks to Specific Events in Indonesia

Journal of Islamic Monetary Economics and Finance · Vol. 6 No. 1 (2020) · pp. 117–134

DOI
10.21098/jimf.v6i1.1121
ISSN
2460-6618, 2460-6146
Published
2020-03-10
Publisher
Bank Indonesia
Language
eng

Abstract

Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks, Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, as well as the factors that influence the phenomenon, by using a two-stage testing method: two paired sampling and cross-sectional regression. Two specific events which occurred in 2016-2018, and which were followed by price reversal and return reversal, are studied. The results show that the election of Donald Trump as US President (Event 1) and the bombings in Surabaya (Event 2) were significant in the overreaction in the winner stock category. The factors that influenced the two events were different. The overreaction to Trump’s election proved to be significantly influenced by information leakage, while the bombings in Surabaya significantly affected the company ownership category. The results indicate that Islamic stocks continue to have several transactions which are prohibited by the DSN MUI fatwa in the short term.

Keywords

Collaboration network of the authors

39 authors · 75 co-authorship links

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  • IPB University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
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Co-authorOrganisationJoint articles
Linda Karlina SariAffiliation unknown2
Zenal AsikinAffiliation unknown2
Dedi Budiman HakimAffiliation unknown2
Irfan Syauqi BeikAffiliation unknown2
Febriann Dedy SyahputraAffiliation unknown1
Achmad Iskandar ZulkarnainAffiliation unknown1
Mulya SiregarAffiliation unknown1
Hesti WerdaningtyasAffiliation unknown1
Anny RatnawatiAffiliation unknown1
Tony IrawanAffiliation unknown1
Dikky IndrawanIPB University1
Priscilla Maulina Juliani SiregarAffiliation unknown1
Ossi FerliAffiliation unknown1
Trias AndatiAffiliation unknown1
Herlin HerlinAffiliation unknown1
Harianto HariantoAffiliation unknown1
Dominicus Savio PriyarsonoAffiliation unknown1
Dina Nurul FitriaAffiliation unknown1
Toni BakhtiarAffiliation unknown1
Ferry SyarifuddinAffiliation unknown1
Ascarya AscaryaAffiliation unknown1
Heni HasanahAffiliation unknown1
Solihin SolihinAffiliation unknown1
Imam T SaptonoAffiliation unknown1
Bambang JuandaAffiliation unknown1
Danti AstriniAffiliation unknown1
Bagus SartonoIPB University1
Sri MurtiyantiAffiliation unknown1
Muhammad Alifka RahmatAffiliation unknown1
Daffa Aqomal HaqAffiliation unknown1
Eka Intan Kumala PutriIPB University1
Michael Albert BaransanoAffiliation unknown1
Lala KolopakingAffiliation unknown1
Machfud MachfudIPB University1
Ani SuryaniAffiliation unknown1
Alfa FirdausAffiliation unknown1

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) http://www.jimf-bi.org/index.php/JIMF/oai, first harvested 9 Nov 2026, last seen 9 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Short-Term Overreaction of Islamic Stocks to Specific Events in Indonesia</dc:title>
	<dc:creator xml:lang="en">Mujadiddah, Sofina</dc:creator>
	<dc:creator xml:lang="en">Achsani, Noer Azam</dc:creator>
	<dc:creator xml:lang="en">Irfany, Mohammad Iqbal</dc:creator>
	<dc:subject xml:lang="en">Cross-sectional regression</dc:subject>
	<dc:subject xml:lang="en">Event</dc:subject>
	<dc:subject xml:lang="en">Overreaction</dc:subject>
	<dc:description xml:lang="en">Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks , Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, as well as the factors that influence the phenomenon, by using a two-stage testing method: two paired sampling and cross-sectional regression. Two specific events which occurred in 2016-2018, and which were followed by price reversal and return reversal, are studied. The results show that the election of Donald Trump as US President (Event 1) and the bombings in Surabaya (Event 2) were significant in the overreaction in the winner stock category. The factors that influenced the two events were different. The overreaction to Trump’s election proved to be significantly influenced by information leakage, while the bombings in Surabaya significantly affected the company ownership category . The results indicate that Islamic stocks continue to have several transactions which are prohibited by the DSN MUI fatwa in the short term.</dc:description>
	<dc:publisher xml:lang="en">Bank Indonesia</dc:publisher>
	<dc:date>2020-03-10</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">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://jimf-bi.org/JIMF/article/view/1121</dc:identifier>
	<dc:identifier>10.21098/jimf.v6i1.1121</dc:identifier>
	<dc:source xml:lang="en">Journal of Islamic Monetary Economics and Finance; Vol. 6 No. 1 (2020); 117 - 134</dc:source>
	<dc:source>2460-6618</dc:source>
	<dc:source>2460-6146</dc:source>
	<dc:source>10.21098/jimf.v6i1</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://jimf-bi.org/JIMF/article/view/1121/797</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2020 sofina Mujadiddah, Noer Azam Achsani, Mohammad Iqbal Irfany</dc:rights>
</oai_dc:dc>