Research Article
Contrarian Stocks: Are They Exist in Indonesian and Malaysian Capital Market?
@INPROCEEDINGS{10.4108/eai.14-9-2020.2304439, author={Samuel Hasudungan and Budi Purwanto and Nunung Nuryartono and Maswati Abd Talib}, title={Contrarian Stocks: Are They Exist in Indonesian and Malaysian Capital Market?}, proceedings={Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia}, publisher={EAI}, proceedings_a={ICOSMI}, year={2021}, month={5}, keywords={bearish bullish bursa malaysia contrarian stock indonesian capital market markov-switching autoreggresive}, doi={10.4108/eai.14-9-2020.2304439} }- Samuel Hasudungan
Budi Purwanto
Nunung Nuryartono
Maswati Abd Talib
Year: 2021
Contrarian Stocks: Are They Exist in Indonesian and Malaysian Capital Market?
ICOSMI
EAI
DOI: 10.4108/eai.14-9-2020.2304439
Abstract
The purpose of this study is to conduct an empirical test of the contrarian stock under bullish and bearish conditions in Indonesia and Malaysia stock market. The objectives of this study are: (1) to identify bullish and bearish periods in Indonesian and Malaysian Stock Exchange; (2) to identify contrarian stock during bullish and bearish period; and (3) to evaluate a portfolio performance with and without the contrarian stock. Samples for this study are weekly price and volume from Jakarta Composite Index, FTSE BM 100 Index, and 625 companies listed on both index. In 2014 – 2019, there are 5 bullish and 4 bearish period in Indonesian market, and 3 bullish and 3 bearish period in Malaysian market. Contrarian stocks are found both in bullish and bearish in Indonesia, but only in bullsih in Malaysia. Portfolio with contrarian stock significantly has a lower risk than a portfolio without contrarian stock.
