Abstract
This study tested a stock return, following a day of major changes to the stock price in the Indonesia Stock Exchange (IDX) period 2010 - 2013. This research used a sample of 213 companies, listed at the IDX. These samples were then classified into back of 69 companies sample winner and 102 companies sample loser.This research used daily abnormal return data, using Market Adjusted Model calculation. The period of observation was 5 days before t = 0 and 20 days after t = 0.
Using the analysis of a t-test and the correlation test, the results of the study indicate that the price momentum and reversal happen on stock winner snd loser. However the correlation analysis results showed price momentum due to overreaction just happens to share loser. Momentum stock winner and loser are then followed by a reversal of the price due to the market correction. An overreaction from investors in a reversal of the price implies that the market has not been efficient, because stock prices can be predicted based on the stock prices in the past.
