Electronic Theses and Dissertation

Abstrak penelitian ini bertujuan untuk menguji keberadaan bias perilaku loss aversion atau dalam prakteknya disebut dengan disposition effect pada perusahaan indeks kompas100 yang tercatat di bursa efek indonesia. pengujian salah satu bias perilaku investor ini dilakukan selama lima tahun, yaitu periode 2015 – 2019. penelitian ini menggunakan data holding period, illiquidity, dan return saham, serta firm size (ukuran perusahaan) yang diproksikan dengan kapitalisasi pasar sebagai variabel kontrol. bias perilaku yang menyebabkan terjadinya disposition effect diindikasikan terjadi apabila illiquidity berpengaruh positif dan signifikan terhadap holding period. sedangkan, regret avoiding disposition effect diindikasikan terjadi apabila return berpengaruh negatif dan signifikan terhadap holding period. untuk melihat pengaruh tersebut maka dilakukan analisis dengan uji regresi linear berganda. hasil penelitian menunjukkan bahwa terdapat bias perilaku disposition effect dan regret avoiding disposition effect pada perusahaan indeks kompas100 yang tercatat di bursa efek indonesia. kata kunci: loss aversion, disposition effect, illiquidity, return, holding period abstract this study aims to examine the existence of loss aversion behavior bias or in practice it is called the disposition effect on kompas100 index companies listed on the indonesian stock exchange. testing of one of these bias of investor behavior was carried out for five years, from 2015 – 2019 period. this study uses data on holding period, illiquidity, and stock returns, as well as firm size proxied by market capitalization as a control variable. the behavioral bias that causes the disposition effect is indicated when illiquidity has a positive and significant effect on the holding period. meanwhile, regret avoiding disposition effect is indicated if return has a negative and significant effect on the holding period. to see this effect, an analysis was carried out using multiple linear regression tests. the results showed that there was a disposition effect and regret avoiding disposition effect on kompas100 index companies listed on the indonesia stock exchange. keywords: loss aversion, disposition effect, illiquidity, return, holding period