Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia

Research Article

Contrarian Stocks: Are They Exist in Indonesian and Malaysian Capital Market?

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  • @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
Samuel Hasudungan1,*, Budi Purwanto2, Nunung Nuryartono2, Maswati Abd Talib3
  • 1: Master Programme in Management, Sekolah Pascasarjana, IPB University, Babakan, Dramaga, Bogor, West Java, 16680, Indonesia
  • 2: Faculty of Economics and Management, IPB University, Babakan, Dramaga, Bogor, West Java, 16680, Indonesia
  • 3: School of Business and Economics, UPM, UPM Serdang, Malaysia
*Contact email: hasudungansamuel@apps.ipb.ac.id

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.