One phenomenon that occurs in Indonesia Stock Exchange is the stock price
does not reflect its fundamental value. One factor that is affecting the stock price is
the demand or investor expectation against the stock. If investors have high
expectation against the stock, the demand will increase and the stock price also
increases. In addition, investors also tend to be rushed in selling the winner stock
and hold the loser stock too long. The purpose of this research is know the existence
of disposition effect on blue-chip stocks in Indonesia Stock Exchange. In this
research, blue-chip stocks are some stocks that always listed in Indonesia Stock
Exchange from period 2013-2017. This research use secondary data that retrieved
from Indonesia Stock Exchange (www.idx.co.id) and Yahoo Finance
(finance.yahoo.com). The data that used in this research is daily data from 2013 –
2017. Then from the daily stock price and stock volume, the stocks return and
trading volume activity are calculated. A 5-day period of daily stock return is used
to calculate the volatility. VAR analysis is used in this research. Since VAR is
difficult to interpret, the researcher also use Impulse Response Function (IRF) to
shows the response of a variable to another variable shock. Variance
Decomposition shows how big the variable response to the movement of past
variables.
The result showing that disposition effect only exist in eight stocks from twentyfour
stocks taken as sample. So can be conclude that disposition effect does not
exist in blue-chip stocks in Indonesia Stock Exchange and investor behave
rationally. Furthermore, this research find that disposition effect weaken the
positive relationship between return, volatility and trading volume activity.