AN ADJUSTABLE STOCK PORTFOLIO STRATEGY WITH SENTIMENT ANALYSIS AND INVESTOR JUDGEMENT CONSIDERATIONS

• Main Author: Aryani, Sinta
• Format: Dissertations
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/54595
• Institution: Institut Teknologi Bandung

In Indonesia, stock investment considers as the lowest among the Southeast Asian countries even though Indonesian market capitalization is the second largest. Number of Indonesian investors are among the lowest compared to the neighbour countries. The complication of stock investment instruments has discouraged the newbie investors to invest in stock market, given the nature of stock market which can be fortunate or disastrous. In order to survive in investing in stock market, the newbie investors need to have enough financial knowledge and experiences. The investors need to have good portfolio strategies in order to survive and reach their desire objective of the investment. Reaching higher expected returns and lessen the risk of assets invested become the main objective of the investors. This research offers a model of integrated portfolio strategy which can help the newbie investors to achieve their objectives. This research deliberately separates the portfolio strategy into three steps – stock selection, portfolio development, and portfolio rebalancing. This integrated portfolio strategy considers not only the historical data of each stocks being analysed but also the current data and future expectation of the stocks that reach the last filter in the stock selection step. The sentiment analysis will be playing its role in analysing the current information about the movement of the stock price. The subjective approach in weighing the portfolio will take its part in seeing the future expectation of stocks and be applied in the second step of portfolio strategy, portfolio development. It is supported by additional information about market insight. The last step, portfolio rebalancing, which newbie investors could adjust their portfolio strategies by applying the internal variables as their desired to achieve their objectives. There will be some scenarios play in this step based on the economic condition of Indonesia – downturn, normal, and upturn. The control will be fixed period, weight, and return of portfolio. The research conducts in Indonesian stock market using the Indonesian stocks available in Indonesia Stock Exchange, IDX. There are some contributions of the research. First, the additional of the new factor in the equation of Fama-French 5-factor, the firm’s risk in related to the firm ii financing, is measured by the total debt. The equity is considered bear higher risk and more expensive than the debt for the firm since equity has no collateral and it depends on the trust of the investors. Yet, the investor can withdraw their capital at any time. Second, the model of stock selection integrates the sentiment analysis by using big data, the unordinary approach of stock selection. This approach is still new for Indonesian context. Third, applying of the scenarios to the model based on economic condition i.e.GDP. While other models only fit to certain economic condition.