OVER-REACTION ATAUKAH FALSE-SIGNAL PADA INDIKATOR STOCHASTIC?
DOI:
https://doi.org/10.24034/j25485024.y2023.v7.i2.4746Keywords:
stochastic, reaksi berlebih, salah signal, saham, analisis teknicalAbstract
Artikel ini menguji efektivitas penggunaan indikator stochastic dalam technical analysis dalam trading saham (swing trade). Indikator tersebut penting untuk diuji dengan mempertimbangkan bahwa keputusan beli saham untuk tujuan investasi (value investing) juga memerlukan teknikal analisis untuk mengetahui kewajaran harga saham. Observasi dilakukan terhadap dua tahun fluktuasi harga saham pada seluruh emiten di Indonesia yang relatif paling stabil dan pada nilai tertinggi selama 10 tahun terakhir. Dengan demikian, efek volatilitas harga yang terlalu tinggi telah dikendalikan. Data diperoleh secara manually data collecting dengan mentabulasi sinyal yang dihasilkan dari indikator teknikal analisis stochastic berupa sinyal yang menunjukkan harga diprediksi akan naik atau sebaliknya untuk mengestimasi return saham dengan menggunakan analisis balance panel regression. Penelitian ini menemukan bahwa terdapat potensi sinyal yang salah dari indikator stochastic untuk mengestimasi return saham. Kesimpulan ini robust dengan estimasi pada abnormal return bahkan pada analisis terhadap tiga sub sampel penelitian (90 hari observasi terhadap estimasi abnormal return mulai dari 2 januari tahun t yang dibagi menjadi tiga masa observasi). Sesungguhnya penelitian ini mencurigai potensi salah sinyal tersebut karena fenomena over-reaction. Akan tetapi, fenomena over-reaction tersebut tidak ditemukan pada observasi. Sehingga, hal tersebut menjadi robustness test kedua pada penelitian ini untuk memperkuat kesimpulan.
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