This study aimed to determine whether there is a market overreaction phenomenon in the Indonesia Stock Exchange. In addition, in this study the researchers also suspect there is a contribution of systematic risk variables, firm size, book-to-market and stock liquidity that has an influence on the phenomenon of market overreaction that occurs in the Indonesian Stock Exchange from 2008-2014. The results showed that there is a market overreaction phenomenon in the semester testing period in 2009 semester 1st, 2011 semester 1st and 2012 semester 2nd. In addition, the phenomenon of market overreaction 46.6% influenced by variable beta, firm size and stock liquidity that are proven to annual period. While in the semester period only a book-to-market and stock liquidity proved significant influence 17.3% market overreaction phenomenon that occurs in the Indonesia Stock Exchange. 
Keywords : Overreaction, Systematic Risk, Firm Size, Book-to-Market, Stock Liquidity.