A Sectoral Stock Investment Strategy Model in Indonesia Stock Exchange

• 발행기관: 한국유통과학회
• 저자명: Defrizal DEFRIZAL Khomsahrial ROMLI Agus PURNOMO Hengky Achmad SUBING
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.1, 15~22쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.01.30

영문 초록

This study aims to obtain a stock investment strategy model based on the industrial sector in Indonesia Stock Exchange (IDX). This study uses IDX data for the period of January 1996 to December 2016. This study uses the Markov Regime Switching Model to identify trends in market conditions that occur in industrial sectors on IDX. Furthermore, by using the Logit Regression Model, we can see the influence of economic factors in determining trends in market conditions sectorally and the probability of trends in market conditions. This probability can be the basis for determining stock investment decisions in certain sectors. The results showed descriptively that the stocks of the consumer goods industry sector had the highest average return and the lowest standard deviation. The trend in sectoral stock market conditions that occur in IDX can be divided into two conditions, namely bullish condition (high returns and low volatility) and bearish condition (low returns and high volatility). Differences in the conditions are mainly due to differences in volatility. The use of a Logit Regression Model to produce probability of market conditions and to estimate the influence of economic factors in determining stock market conditions produces models that have varying predictive abilities.

목차

1. Introduction

2. Literature Review

3. Research Method

4. Results and Discussion

5. Conclusion

References

키워드

Investment Strategy Markov Regime Switching Model Logit Regression Model Stock Market Conditions