IDENTIFIKASI GEJOLAK OVERCONFIDENCE BIAS PADA INDEKS IDX30

Abstract

This research seeks to validate the presence of overconfidence bias specifically within the Indonesian capital market. Overconfidence bias is known to cause increased market volatility, unreasonable trading volume, and distortion of security prices from their actual prices. By utilizing daily historical data including closing prices, trading volumes, and the number of shares outstanding from 13 companies consistently listed on the IDX30 index between 2020-2024, this study applies the VECM estimation method and IRF analysis. The results clearly show substantial overconfidence bias in 2020, 2021, 2022, dan 2024. This assertion is substantiated by the reliable positive correlation observed between return market and trading volume. Hopefully, this study will foster more logical investment choices, thereby enhancing market efficiency.