Judul: Peran Saham Kontrarian pada Pasar Saham Indonesia dan Malaysia pada Kondisi Bullish dan Bearish
Abstrak: The high returns in investing in stocks is also followed by a high risk. The high volatility of stock prices is reflected in bullish and bearish movements. One strategy to minimize this risk is to include stocks with negative beta values, or contrarian stocks. This study tries to consider the dynamic nature of the capital market through a bullish and bearish in the analysis of the existence and influence of contrarian stocks. The objectives of this study are: (1) to identify bullish and bearish periods in Indonesian and Malaysian Stock Exchange; (2) to identify the contrarian stock in Indonesian and Malaysian Stock Exchange in both bullish and bearish periods; (3) to evaluate a portfolio performance with and without the contrarian stock. This study uses weekly price data for the period 1st January 2014 to 31st December 2019 from the JCI index, the FTSE Bursa Malaysia 100 index, and a total of 525 stocks listed on both indexes. Data obtained from Yahoo Finance and Investing.com. The analysis method uses Markov switching autoregressive, Markowitz's mean-variance portfolio, Sharpe's ratio, and paired difference test. There were 5 bullish periods and 4 bearish periods identified in Indonesia, and 3 bullish periods and 3 bearish periods in Malaysia. In Indonesia, contrarian stocks are found in both bullish and bearish conditions. However, in Malaysia, contrarian stocks are only found in a bullish condition. Contrarian stocks can contribute lowering portfolio risk and increasing the Sharpe ratio, although they also reduce portfolio returns. Through the pairwise difference test, the risk level of a portfolio with contrarian stocks is significantly different from a portfolio without contrarian stocks. The rate of return and the value of the Sharpe ratio did not differ significantly between portfolios with and without contrarian stocks., Potensi return yang tinggi dalam berinvestasi saham juga diikuti dengan adanya potensi risiko yang tinggi pula. Ditambah lagi tingginya volatilitas harga saham tercermin dalam pergerakan bullish dan bearish. Salah satu strategi untuk meminimalisir risiko tersebut adalah dengan menyertakan saham dengan nilai beta negatif, atau saham kontrarian. Penelitian ini mencoba mempertimbangkan sifat dinamis dari pasar modal melalui pembagian bullish dan bearish pada analisis keberadaan dan pengaruh saham kontrarian. Tujuan dari penelitian ini adalah: (1) untuk mengidentifikasi periode bullish dan bearish di pasar saham Indonesia dan Malaysia; (2) untuk mengidentifikasi saham kontrarian di pasar saham Indonesia dan Malaysia pada periode bullish dan bearish; dan (3) untuk mengevaluasi kinerja portofolio dengan dan portofolio tanpa saham kontrarian. Penelitian ini menggunakan data harga mingguan pada rentang periode 1 Januari 2014 sampai dengan 31 Desember 2019 dari indeks IHSG, indeks FTSE Bursa Malaysia 100, dan total 525 emiten yang terdaftar di kedua indeks. Data diperoleh dari Yahoo Finance dan Investing.com. Metode analisis menggunakan Markov switching autoregressive, Markowitz’s mean-variance portfolio, rasio Sharpe, dan uji beda berpasangan. Teridentifikasi 5 periode bullish dan 4 periode bearish di Indonesia, dan 3 periode bullish dan 3 periode bearish di Malaysia. Di Indonesia, saham kontrarian ditemukan dalam kondisi bullish dan bearish. Namun di Malaysia, saham kontrarian hanya ditemukan pada kondisi bullish saja. Saham kontrarian mampu memberikan kontribusi menurunkan risiko portofolio dan meningkatkan Sharpe ratio, meskipun
Keyword: Bearish, bullish, Bursa Malaysia, contrarian stock, Indonesian Capital Market