Sumarsono, Sumarsono (2016) The Effect of Business Cycle to the Stock Performance in Cyclical and Defensive Industries Sectors at Jakarta Stock Exchange. In: 15th Convention of the East Asian Economics Association, November 5-6, 2016, Bandung.
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Sumarsono EAEA Paper Business Cycle vs Stock Performance.pdf - Published Version Download (1859Kb) | Preview |
Abstract
In general, investor in capital market always wants to secure their investment especially for typical passive investor (investor that invests for long term period). Logically business cycle and economic condition will direct or indirectly effect their investment. That is why, the investor should/want know which stocks in sectors that are categories as cycle or defensive sector. The purpose of this study is examined the effect of business cycle and macro economy indicator to the stock performance in cycle and defensive sectors at Jakarta Stock Exchange, which are use two measurement approach, that are stock return and sharp index respectively. The study, use data of daily stock return of emiten, growth real GDP quarterly since 2000-2014 after decomposition processes and de-trending as a proxy of business cycle, which divided into three stage, initial, middle, and final expansion respectively. Indicator economic data consist of production of industry, consumer expansion, inflation, and interest at the same period mentioned above. The approach of hypothesis test is regression Logit. The result of the study, expect to identify the cycle and defensive sector, and shows that business cycle and macro economic indicator significantly effect to the cycle and defensive sectors. While, both the stock return and sharp index approach, can be above or below market return. Thus, in the condition of down turning economic situation, the investor should select defensive sector instated of cycle one, especially for passive investor.
| Item Type: | Conference or Workshop Item (Paper) |
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| Uncontrolled Keywords: | Business cycles, performance stocks, cyclical industries, defensive industries |
| Subjects: | H Social Sciences > HF Commerce > HF5601 Accounting |
| Depositing User: | Perpustakaan Maranatha |
| Date Deposited: | 01 Oct 2018 07:06 |
| Last Modified: | 01 Oct 2018 07:06 |
| URI: | http://repository.maranatha.edu/id/eprint/24829 |
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