INVESTMENT STRATEGY USING MEAN REVERSION THEORY IN INDONESIAN LQ45 INDEX
Companies in Indonesia since 1987 are no longer dependent on funding from traditional sources (Banking), as they are getting more attractive investment options. Companies are more interested in leveraging funds from the stock exchange based on promising and prospective capital market developments. I...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/30789 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Companies in Indonesia since 1987 are no longer dependent on funding from traditional sources (Banking), as they are getting more attractive investment options. Companies are more interested in leveraging funds from the stock exchange based on promising and prospective capital market developments. In carrying out investment activities, always faced with two things: the level of profit / return and also the risks that may arise due to the uncertainty. The study was conducted by studying and analyzing the stocks of companies listed in the LQ45 index for the period of 2008 - 2018. <br />
<br />
The objectives of this research are : To study and analyze stock price movements listed in LQ45 index period 2008-2018, analyze and identify the best investment pattern in index LQ45, and finally able to give recommendation to investors, the best investment strategy within the LQ45 index. Research is done by simulating 3 strategies, namely Grouping Strategy, Top Pick Strategy and also Bottom Pick Strategy. Grouping Strategy is done by grouping stocks on the LQ45 index, Top Pick Strategy is done by selecting the top stocks at each group, and Bottom Pick Strategy is done by selecting the bottom stocks at each group. <br />
<br />
Based on the analysis of LQ45 index for the period of 2008 - 2018, it is obtained that the highest rate of return is the stock at the bottom of Group A lag 6 months period of time; 790.76%. While the stock with the highest Sharpe ratio and the low standard deviation is Group C stocks with lag 12 months period of time, where for each additional 1% of the risk borne, the additional rate of return generated is 1,062%. In the end, it is all about the character of each investors, whether they want to get high returns with high risks (Risk taker), or they want to get the rate of return that already compromise with the risks that exist (Risk averter),that is; risk-adjusted return. <br />
|
|---|