<p><em>ABSTRACT</em></p><p><em>Various research including Panggabean (2010) and Usman (2016) show that the long-term trend of Indonesia's capital market is on an uptrend, marked by more bullish periods and longer duration than bearish; and the development determined by rising rates of return rather than interest rates and exchange rates (Defrizal et al, 2015). However, the research has not determined yet whether there are any difference risks in bullish and bearish conditions, especially for systematic or market risk. This study aims to 1) identify the bullish and bearish segmentation period using the Markov Switching Model, and 2) measure systematic risk using the capital assets pricing model (CAPM) with the Sharpe beta indicator. Using the composite stock price index (JCI) and trading data from TICMI (The Indonesia Capital Market Institute) period 2011-2016, consists of 560 issuers, it was found that there were 10 segments that could be identified as 5 bullish periods for 30 weeks , and 5 bearish periods for 8 weeks. Other finding indicates that the probability of switching from bullish to bearish is 3.33% and from bearish to bullish is 12.14%. That means there are positive sentiments that the market tends to be bullish rather than vice versa. The result of beta or systematic risk identification indicates that during bullish and bearish period the market proved to be different risk. Other interesting findings, in both these two different conditions there are negative betas exist that still gives a positive yield.</em></p><p> </p><p>ABSTRAK</p><p>Berbagai riset termasuk Panggabean (2010) dan Usman (2016) menunjukkan bahwa kecenderungan jangka panjang pasar modal Indonesia berada pada kecenderungan naik (uptrend), ditandai dengan periode bullish lebih banyak, dan durasi lebih panjang, daripada bearish. Perkembangan perkembangan itu dipicu oleh kenaikan tingkat imbalan, alih-alih suku bunga dan nilai tukar (Defrizal et al 2015). Namun riset-riset tersebut tidak mengidentifikasi eksistensi kondisi bullish dan bearish dan berdampak perbedaan risiko, terutama risiko sistematis atau risiko pasar, kecuali mengasumsikan saja keberadaannya. Penelitian ini bertujuan 1) mengidentifikasi segmentasi periode bullish dan bearish dengan menggunakan model perpindahan Markov (Markov Switching), dan mengukur risiko sistematis menggunakan model penilaian modal (capital assets pricing model, CAPM) dengan indikator beta Sharpe. Menggunakan data indeks harga saham gabungan (IHSG) serta data perdagangan bersumber dari TICMI (The Indonesia Capital Market Institute) periode 2011-2016 yang mencakup 560 emiten, diperoleh hasil bahwa dalam periode tersebut terdapat 10 segmen yang dapat diidentifikasi sebagai 5 periode bullish selama 30 pekan, dan 5 periode bearish selama 8 pekan. Temuan lain menunjukkan bahwa peluang perpindahan dari kondisi bullish ke bearish sebesar 3,33% dan dari kondisi bearish ke bullish sebesar 12,14%. Artinya terdapat sentimen positif bahwa pasar cenderung menjadi bullish daripada sebaliknya. Hasil identifikasi risiko sistematis menunjukkan, berbeda dengan konsep dasar CAPM, bahwa beta pada periode bullish dan bearish tidak sama. Temuan menarik lainnya, pada kedua kondisi tersebut terdapat beta negatif yang dapat memberikan tingat imbalan positif.</p>
Explaining Aggregated Recovery Rates