IMPLEMENTATION OF SECTORS ROTATION STRATEGY FACING SELL IN MAY PHENOMENA IN INDONESIA STOCK MARKET

• Main Author: Baroes, Roy
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/35755
• Institution: Institut Teknologi Bandung

Indonesia Stock Exchange (IDX) is one of remarkable growth stock market in East Asia region and one of the best performer among emerging market during 2017. The Indonesia Stock Exchange's Market Capitalization is $452.2 Billion adjusted US Dollars as of March 2018 is a huge opportunity for investors to make an extraordinary profit for their investment by exploiting the market inefficiency. The objectives of this study were to investigate whether the Sell in May phenomena presence in Indonesia stock market and the sectors, analyzing the relationship between sectors seasonal phenomena with the Sell in May phenomena and to provide a practical relevance to investors by including a strategy that takes advantage of sectors seasonal facing the Sell in May phenomena in Indonesia Stock Market. The data is measured from based on secondary traded price data downloaded from IDX website in the period 1998-2017 with 9 sectors categorized by JASICA. The research methodology used is a time series and statistical analysis using ordinary least square model developed by Bauman, 2002 and known as the halloween model. The study has shown that a significant different return between period September through April and May through October during 20 years for Jakarta Composite Index indicated the present of Sell in May anomaly meanwhile for the sectors perspective, the Sell In May anomaly statically only significant for agriculture and mining sectors means the anomaly only concentrated in specific sectors. The comparison between buy & hold strategy and sectors rotation shown that buy mining sector from September to April then switch into consumers sector from May to October during 1998-2017 successfully beat the composite index (JCI) and other sectors buy & hold strategy in term of cumulative return. The main recommendation for this study is investors in Indonesia Stock Market should stay in stock market and optimized the sector seasonality rather than switch into other financial instrument such as saving, bond , etc. for the maximizing the investment return.