Trading Patterns of Stock Before and After Suspension on Indonesia Stock Exchange

摘要

The goals of this research are to examine the trading pattern and performance of stock before and after suspension in the Indonesia Stock Exchange. The research data used in this research are stock listed in suspension and unsuspension announcement from January 2016 to December 2017. The trading pattern investigated in this research is related to the behavioral finance theory which divides the status of the investor: domestic and foreign investor. To examine investor behavior, the authors used Net Investment Flow calculation, then analyzed it using Pearson Correlation and Vector Auto Regression (VAR). Meanwhile, to calculate trading performance, the authors used cumulative return calculation. By using the daily transaction data of domestic and foreign investor, this study proved that herding behavior is stronger in foreign investors than domestic investors in both suspension periods. The investment performance of foreign investors is better than domestic investors. Domestic investors have the information-based model as an investing pattern, while foreign investors have the value-investing model before suspension and information-based model after suspension.