INTRODUCTION
- Research Background
- Research Problem
- Research Objective
- Research Limitation
- Research Benefit
This research focuses on the technical analysis because technical analysis can display the same chart with technical indicators. However, previous research has examined the accuracy of technical analysis in the Macedonian stock market. The result shows that the technical analysis can be used to predict the stock price movement.
Therefore, this research conducts the test of accuracy of technical analysis in forecasting the stock price on Indonesian stock market to check the accuracy of forecasting of technical analysis. To examine the technical analysis in forecasting the share price in each public company on this research. This is because the technical analysis has the assumption that the price pattern will exist.
Page | 5 This study can become a proof of the accuracy of technical analysis in predicting stock price in Indonesian stock market. This research can provide new references on the accuracy of technical analysis in the Indonesian stock market.
THEORITICAL FRAMWORK
- Technical Indicator
- Moving Average
- Bollinger Band
- MACD
- OBV (On Balance Volume)
- Positive Volume Index
- Negative Volume Index
- Relative Strength Index
- Relative Momentum Index
- Relative Volatility Index
- Stochastic Oscillator
- William %R
- ROC (Rate of Change)
- ADX (Average Directional Index)
- Dow Theory
- Random Walk Theory
- Efficient Market Hypothesis
If the current closing price is higher than the previous closing price, OBV = OBVt-1 +Volume. So it means that the OBV shows an upward trend when it reaches the new peak, and the OBV decreases when the consecutive price is lower than the previous stock price. The Positive Volume Index (PVI) can be calculated when the current volume of the security is higher than yesterday's volume.
So if the RSI is rising, it means the price is higher due to overbought. If the stock price indicates overbought or oversold, there is a possibility of a reversal, causing the price to reverse again. So if the William %R has a higher reading, it means it is oversold or the price is going down.
On the other hand, if the William %R has lower values, it means that it is overbought or the price is going up. If the current price is higher than the previous price, the ROC is high, so the current price is lower than the previous price.
RESEACRCH METHODOLOGY
Data Collection and Processing
Technical indicators are shown in graphical form, but this research requires the use of numbers to apply statistical analysis. The source of technical indicators and historical prices are from an application called HOTS owned by PT. The researcher has access to the application because PT Mirae Asset Sekuritas Indonesia provides free access (cannot be used to carry out trading activities) publicly.
Technical indicators used are the simple moving average (SMA), weighted moving average (WMA), exponential moving average (EMA), moving average convergence divergence (MACD), Bollinger Band, negative volume index (NVI), positive volume -index (PVI), Relative Strength Index (RSI), Relative Momentum Index (RMI), Relative Volatility Index (RVI), Stochastic Fast, Stochastic Slow, Average Directional Index (ADX), William %R, Rate of Change (ROC), and On-Balance Volume (OBV).
Variable and Measurement
Page | 27 technical analysis ability that is represented by technical indicators to predict the next day of stock price on each sample. Regression analysis showed the significance of the model for the outcome based on the R-squared and F-value. If the R-squared is close to 1.0, it indicates that the outcome is significantly explained by independent variables.
According to Andy Field (2009), the F-value measures how much the model has improved the prediction of the outcome compared to the degree of inaccuracy of the model. The good model is indicated by the fact that the F-value is greater than 1 (meaning that the Means Square for the model is greater than the Residual Means Square). If the model is significant in explaining the outcome, this does not mean that all predictors can be used to explain the outcome. to predict.
The researcher must look at the significance of the individual predictor (independent variable) for the outcome by comparing the p-value of each predictor with its alpha level. If the p-value of each predictor is more than α level, it is not significant to use for prediction.
Research Model
RESULT
Data Analysis Result
- PT Adhi Karya Tbk (ADHI)
- PT Adaro Energy Tbk (ADRO)
- PT AKR Corporation Tbk (AKRA)
- PT Aneka Tambang (PERSERO) Tbk (ANTM)
- PT Astra International Tbk (ASII)
- PT Bank Central Asia Tbk (BBCA)
- PT Bank Negara Indonesia (PERSERO) Tbk
- PT Bank Rakyat Indonesia (PERSERO) Tbk
- PT Bank Tabungan Negara (PERSERO) Tbk
- PT Bank Jawa Barat dan Banten Tbk (BJBR)
- PT Sentul City Tbk (BKSL)
- PT Bank Mandiri (PERSERO) Tbk (BMRI)
- PT Barito Pasific Tbk (BRPT)
- PT Bumi Serpong Damai Tbk (BSDE)
- PT Elnusa Tbk (ELSA)
- PT XL Axiata Tbk (EXCL)
- PT Gudang Garam Tbk (GGRM)
- PT H.M Sampoerna Tbk (HMSP)
- PT Indofood CBP Sukses Makmur Tbk (ICBP)
- PT Vale Indonesia Tbk (INCO)
- PT Indofood Sukses Makmur Tbk (INDF)
- PT Indika Energy Tbk (INDY)
- PT Indah Kiat Pulp & Paper Tbk (INKP)
- PT Indocement Tunggal Prakasa Tbk (INTP)
- PT Indo Tambangraya Mega Tbk (ITMG)
- PT Jasa Marga Tbk (JSMR)
- PT Kalbe Farma Tbk (KLBF)
- PT Lippo Karawaci Tbk (LPKR)
- PT Matahari Departement Store Tbk (LPPF)
- PT Medco Energi Internasional Tbk (MEDC)
- PT Media Nusantara Citra Tbk (MNCN)
- PT Perusahaan Gas Negara (PERSERO) Tbk
- PT Tambang Batu Bara Bukit Asam (PERSERO)
- PT Perusahaan Pembangunan (PERSERO) Tbk
- PT Surya Citra Media Tbk (SCMA)
- PT Semen Indonesia (PERSERO) Tbk (SMGR)
- PT Sri Rejeki Isman Tbk (SRIL)
- PT Sawit Sumbermas Sarana Tbk (SSMS)
- PT Telekomunikasi Indonesia (PERSERO) Tbk
- PT Chandra Asri Petrochemical Tbk (TPIA)
- PT United Tractor Tbk (UNTR)
- PT Unilever Indonesia Tbk (UNVR)
- PT Wijaya Karya (PERSERO) Tbk (WIKA)
- PT Waskita Beton Precast Tbk (WSBP)
- PT Waskita Karya (WSKT)
Emperical Test
Crossing the signal line that indicates the buy signal, otherwise the price will go up. The relative strength index shows that the price has been at the point of overbought and is starting to fall. This means that there is a chance that the price will reverse or in other words fall.
Stochastic slow shows that the price is not in the overbought zone and the %K line shows that it is moving up. The middle band shows that the price will tend to rise based on the rise in the middle band. If the RVI is below 50, it means that the sell signal or the price will fall.
Stochastic slow shows that the price is not oversold, but the trend shows that there is an indication to go down. The researcher uses middle band to analyze the movement of stock price and it shows the trend is a downward trend which means the price will fall. This shows that the stock is in the overbought zone and there is a probability of reversal or in other words the price will fall.
It shows that the stock is overbought and that there is a chance of a reversal, with the price falling gently. EMA shows that there is an indication that the price will fall and is indicated by EMA 5 days, which is the fastest moving average. Page | 131 WMA 5 shows the indication that the price will fall as the EMA 5 does.
The SMA 20 shows the price was on the uptrend until there is a line leading to the downside. MACD line shows that the line crosses the signal line indicating that the price will fall. The William %R shows the price is oversold and there is a possibility that the price will rise or recover.
Result Summary
CONCLUSION, LIMITATIONS AND
Conclusion
As the statistical result shows that technical analysis can be used to predict the stock price of all 44 companies on LQ45. It is evident from the importance of the model used on the research for the result of the R-squared value and the F-value. Based on the statistical analysis using a 95% confidence level, all companies show different individual predictors that are significant to use for prediction.
Empirical testing shows that three out of five companies can be predicted by most of the technical indicators. Empirical test result and statistical result show different as a result of the statistical analysis, the model will become significant if at least one technical indicator can predict the outcome. On empirical results, few of technical analysis shows correct prediction for the outcome although most of the technical indicator shows wrong prediction for the outcome which leads to wrong prediction for each company.
The conclusion is that the technical analysis can be used to predict the stock price in the future, but on the empirical test, only three out of five show that technical analysis can predict the stock price, but it does. Page | 99 does not mean that all technical indicators were wrong in the prediction, instead there are few of technical indicators that show the correct prediction.
Limitation
Recommendation
It does not indicate overbought and there is no probability of price reversal. The middle band shows us that the line was in an uptrend and there is a starting point where the price will decrease.
