DETEKSI DINI PERIODE BEARISH RETURN SAHAM SEKTO PROPERTI PENDEKATAN SIGNAL - NONPARAMETRIC

Abstract

This study aims to determine the bearish period of property stock return in the appropriate time frame considering macroeconomic indicators. This study employed nonparametric method using signaling approach. The data used were started from January 1996 to June 2011 and the frequencies of the data were taken monthly. This study suggests that there are four bearish occurred in the sample period and 1 bearish period in out of the sample period which is in October 2008. There are 18 selected economic indicators as leading indica- tors with the threshold at its percentile which have minimum NSR value smaller then 1. This study also succeeds in forming a composite index I which has a better predictive power of the composite index II. With the composite index, the bearish periods, in the sample and out of the sample, can be successfully detected.