Prediktabilitas Sample Skewness Terhadap Return Pasar Saham Indonesia

Muhammad Sofian Maksar

doi:10.33557/mbia.v22i1.2152

Muhammad Sofian Maksar Universitas Muhammadiyah Kendari

DOI: https://doi.org/10.33557/mbia.v22i1.2152

Keywords: Market return predictability, Sample skewness, Sample variance

Abstract

This study investigates the predictability of sample skewness on Indonesian stock market returns as represented by the JCI, LQ45, and JCI. The sample period starts from January 2001 to December 2022, with a prediction period from July 2009 to December 2022 that accommodates the COVID-19 pandemic crisis. The results showed that sample skewness was able to predict market excess returns one month in advance. This ability emerged, especially when the COVID-19 pandemic crisis hit. This finding indicates that investors tend to look for securities that have lottery-like characteristics, which causes the price of these securities to experience mispricing. However, this mispricing can be adjusted in the next period so that this strategy is not profitable to implement.

Keywords: Market return predictability, Sample skewness, Sample variance

Abstrak

Penelitian ini bertujuan untuk menginvestigasi kemampuan prediksi (prediktabilitas) sample skewness terhadap return pasar saham indonesia yang diwakili oleh IHSG, LQ45, dan JCI. Periode sampel dimulai dari Januari 2001 sampai Desember 2022 dengan periode prediksi dari Juli 2009 sampai Desember 2022 yang mengakomodir krisis pandemi Covid-19. Hasil penelitian menunjukkan bahwa sample skewness mampu memprediksi excess return pasar satu bulan ke depan. Kemampuan ini muncul khususnya saat krisis pandemi Covid-19 melanda. Temuan ini mengindikasikan bahwa investor cenderung mencari sekuritas yang memiliki karakteristik seperti lotere yang menyebabkan harga sekuritas ini mengalami mispricing. Akan tetapi, mispricing ini dapat disesuaikan di periode selanjutnya sehingga strategi ini tidak menguntungkan untuk diterapkan.

Keywords: Prediktabilitas return pasar, Sample skewness, Sample variance

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