Perbandingan imbal hasil indeks IHSG menggunakan analisis teknikal = Comparing returns of the IDX composite index using technical analysis

Irahadi, Derry (2022) Perbandingan imbal hasil indeks IHSG menggunakan analisis teknikal = Comparing returns of the IDX composite index using technical analysis. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini membandingkan imbal hasil dari strategi investasi berdasarkan analisis teknikal menggunakan indikator moving average (MA), relative strength index (RSI), moving average convergence divergence (MACD), dan rate of change (ROC), dan imbal hasil dari strategi buy and hold untuk Indeks Harga Gabungan Saham (IHSG) pada periode Januari 2008 sampai dengan September 2021. Studi ini menghitung sinyal jual dan sinyal beli berdasarkan harga penutupan IHSG dan indikator yang terpilih. Kemudian imbal hasil harian dihitung untuk hari beli dan hari jual. Uji t dilaksanakan untuk empat pertanyaan penelitian untuk masing-masing indikator yang masing-masing menanyakan suatu aspek dari imbal hasil menggunakan analisis teknikal. Semua hasil uji t menunjukkan bahwa analisis teknikal sederhana tidak terbukti menghasilkan imbal hasil abnormal. Maka, indikator MA, RSI, MACD, dan ROC kurang berguna untuk memprediksi pergerakan IHSG. Hasil penelitian memberi konfirmasi hipotesis pasar efisien bentuk lemah untuk pergerakan harga IHSG. / This study tests whether or not an investment strategy based on technical analysis using the moving average (MA), relative strength index (RSI), moving average convergence divergence (MACD), and rate of change (ROC) indicators for the Jakarta Stock Exchange Composite Index (IHSG) for the period of January 2008 until September 2021 would result in a greater return than a buy and hold strategy. This study calculates buy and sell signals based on the daily closing price of the IHSG and the chosen indicator. Then, the daily returns are divided into returns on buy days and returns on sell days. t-tests are applied to four research questions for that each examine an aspect of returns using technical analysis. All results of the t-tests show that naive technical analysis does not result in abnormal returns. The chosen indicators (MA, RSI, MACD, and ROC) do not usefully predict the price movements of the IHSG. This study provides evidence for the IHSG being weak-form market efficient.

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