Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange
-
DOIhttp://dx.doi.org/10.21511/imfi.15(4).2018.11
-
Article InfoVolume 15 2018, Issue #4, pp. 135-143
- Cited by
- 1715 Views
-
213 Downloads
This work is licensed under a
Creative Commons Attribution 4.0 International License
This study aims to examine whether the Autoregressive Integrated Moving Average (ARIMA) model is appropriate to be applied in the Indonesia Stock Exchange, especially for the socially resposible investment stocks. For the ARIMA model combines the autoregressive and moving average method, so it is viewed as a useful tool to predict the stock prices. Those methods are frequently used methods to forecast the stock prices. The data used in this study were daily SRI-KEHATI Index during the period of June 8, 2009 to July 17, 2017. The results showed that the daily SRI-KEHATI Index data were not stationary data, thus this data needed to be transformed. The transformation was done by using the first seasonal differencing transformation process. After being transformed, those data became stationary. Furthermore, this study found that ARIMA (3,1,1) was a model, which might be appropriate and fit with the data condition. This method was also relevant to be applied in the Indonesia Stock Exchange in order to forecast the stock prices.
- Keywords
-
JEL Classification (Paper profile tab)G10, G17
-
References35
-
Tables4
-
Figures0
-
- Table 1. Stock transaction value in the Indonesia Stock Exchange during the period 2010–2017
- Table 2. Result of Augmented Dickey-Fuller (ADF) test
- Table 3. Result of PAC test
- Table 4. Result of ARIMA (3,1,1)
-
- Ang, R. (1997). Buku Pintar Pasar Modal Indonesia. Jakarta: Mediasoft Indonesia.
- Archelis, S. (2000). Technical Analysis From A to Z. Equis International.
- Ardani, N., Murhadi, W. R., & Marciano, D. (2012). Investasi: Komparasi Strategi Buy and Hold dengan Pendekatan Teknikal. Jurnal Akuntansi dan Keuangan, 14(1), 32-44.
- Artha, D. R., Achsani, N. A., & Sasongko, H. (2014). Analisis Fundamental, Teknikal Dan Makroekonomi Harga Saham Sektor Pertanian. Jurnal Manajemen dan Kewirausahaan, 16(2).
- Badev, A., & Chen, M. (2014). Bitcoin: Technical Background and Data Analysis. Finance and Economics Discussion Series.
- Ernayani, R., Oktiviana, S., & Robiyanto, R. (2017). The Effect of Return on Investment, Cash Ratio, and Debt to Total Assets Towards Dividend Payout Ratio (A Study Towards Manufacturing Companies Listed in Indonesia Stock Exchange). Advanced Science Letters, 23(8), 7169-7199.
- Fernández-Rodríguez, F., Gonzalez-Martel, C., & Sosvilla-Rivero, S. (1999). Technical Analysis in the Madrid Stock Exchange (Working Paper).
- Fernández-Rodríguez, F., Sosvilla- Rivero, S., & Andrada-Félix, J. (2000). Technical Analysis in Foreign Exchange Markets : Linear Versus Nonlinear Trading Rules (Working Papers on International Economics and Finance).
- Fildes, R., & Makridakis, S. (1995). The Impact of Empirical Accuracy Studies On Time Series Analysis and Forecasting. International Statistical Review, 63, 289-308.
- Greene, W. H. (2003). Econometric Analysis (5th ed.). New Jersey: Prentice Hall.
- Hartono, J. (2015). Teori portofolio dan analisis investasi (10th ed.). Yogyakarta, Indonesia: BPFE.
- Khafid, M., & Mukhibad, H. (2016). Apakah Kualitas Laba Berbasis Akuntansi Berkontribusi Terhadap Market Outcomes? Jurnal Keuangan dan Perbankan, 20(1), 42-49.
- Makridakis, S. G., Wheelwright, S. C., & Hyndman, R. J. (1998). Forecasting: Methods and Applications (3rd ed.). John Wiley & Sons, Inc.
- Martin, A. D. (2001). Technical Trading Rules in the Spot Foreign Exchange Markets of Developing Countries. Journal of Multinational Financial Management, 11, 59-68.
- Masih, R., Peters, S., & Mello, L. D. (2010). Oil Price Volatility and Stock Price Fluctuations in an Emerging Market: Evidence from South Korea (Working Paper).
- Mukti, H. (2018). Penerapan Analisis Teknikal Ichimoku No Kinko Hyo Pada Saham JII (Jakarta Islamic Index). Skripsi, Universitas Islam Negeri Sunan Kalijaga, Yogyakarta, Indonesia.
- Parisi, F., & Vasquez, A. (2000). Simple Technical Trading Rules of Stock Returns: Evidence From 1987 to 1998 in Chile. Emerging Markets Review, 1, 152-164.
- Prabhata, A. (2012). Efektifitas Penggunaan Analisis Teknikal Stochastic Oscillator dan Moving Average Convergence-Divergence (MACD) Pada Perdagangan Saham-Saham Jakarta Islamic Index (JII) di Bursa Efek Indonesia. Sinergi Kajian Bisnis dan Manajemen, 13(1), 1-14.
- Qizam, I. (2001). Analisis Kerandoman Perilaku Laba Perusahaan di Bursa Efek Jakarta. Paper presented at the Simposium Nasional Akuntansi IV IAI-KAPd.
- Robiyanto, R. (2000). Pengaruh Hari Perdagangan Saham Terhadap Return Harian Saham di Bursa Efek Jakarta (Sebuah Studi Terhadap IHSG, Indeks Saham Sektoral dan Indeks Saham Unggulan (LQ 45). Jurnal Bisnis Strategi, 5, 46-94.
- Robiyanto, R. (2015). Month of the year effect pada beberapa pasar modal di Asia Tenggara dan pasar komoditas. Jurnal Ekonomi dan Bisnis, 18(2), 53-64.
- Robiyanto, R. (2017). Performance evaluation and risk aversion rate for several stock indices in Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan, 19(1), 60-64.
- Robiyanto, R. (2018). Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies, 10(3), 173-182.
- Robiyanto, R., & Puryandani, S. (2015). The Javanese lunar calendar’s effect on Indonesian stock returns. Gadjah Mada International Journal of Business, 17(2), 125-137.
- Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017a). Testing Commodities as Safe Haven and Hedging Instrument on ASEAN’s Five Stock Markets. Jurnal Ekonomi Kuantitatif Terapan, 10(2), 231-238.
- Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017b). The volatility–variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167-192.
- Setiawan, S. T., & Fathony, M. (2015). Analisis Fundamental, Teknikal dan Makroekonomi Pada Harga Saham Sektor Properti di Bursa Efek Indonesia (Working Paper).
- Sharpe, W. F., Gordon, J. A., & Bailey, J. V. (1995). Investment (5th ed.). New Jersey: Prentice Hall.
- Sugiarto, & Harijono (2000). Pera¬malan Bisnis. Jakarta: Gramedia Pustaka Utama.
- Tobing, J. J. (2015). Pengaruh Faktor-Faktor Fundamental dan Teknikal Terhadap Harga Saham Perusahaan Pada Sektor Property Bursa Efek Indonesia Periode 2009–2013 (Working Paper).
- Triyono, D., & Robiyanto, R. (2017). The effect of foreign stock indexes and Indonesia’s macroeconomics variables toward Jakarta Composite Stock Price Index (JCI). Advanced Science Letters, 23(8), 7211-7214.
- Waworuntu, S. R., & Suryanto, H. (2010). The Complementary Nature Of Fundamental And Technical Analysis Evidence From Indonesia. International Research Journal of Business Studies, 3(2).
- Wijaya, R. (2017). Kinerja Keuangan dan Ukuran Perusahaan terhadap Harga Saham dengan Kebijakan Dividen sebagai Variabel Intervening. Jurnal Keuangan dan Perbankan (JKP), 21(3).
- Yudono, I. (2010). Analisis Teknikal Saham-Saham Sektor Pertambangan di Bursa Efek Indonesia. Performance, 11(2), 29-45.
- Zulkafli, A. H., Ahmad, Z., & M, E. E. (2017). The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59-76.