Does Technical Analysis Win?

The main goal of this chapter is to analyze the performance of four investment strategies within a recent period of international political uncertainties. RSI and MACD supported three competing investment strategies, which were compared to the conservative Buy and Hold strategy. Euro Stoxx 50 Index was selected through the Markowitz Theory, and the DAX index was established as a benchmark. The period considered was between the start of Donald Trump's official campaign to the US elections and the first date set for Brexit. Two subsequent additional studies were performed to evaluate their profitability. The entry and exit points were determined by international economic reports. Alternative time lengths for the RSI window were considered. The results suggest that, when the market is bear or undefined, the investor should have a strategy supported on technical analysis and he should consider more than one indicator to increase the information that is taken from the market. The passive Buy and Hold strategy should be considered when the market is considered a bull market.

The Impact of the COVID-19 Pandemic on the Unpredictable Dynamics of the Cryptocurrency Market

The global economy is under great shock again in 2020 due to the COVID-19 pandemic; it has not been long since the global financial crisis in 2008. Therefore, we investigate the evolution of the complexity of the cryptocurrency market and analyze the characteristics from the past bull market in 2017 to the present the COVID-19 pandemic. To confirm the evolutionary complexity of the cryptocurrency market, three general complexity analyses based on nonlinear measures were used: approximate entropy (ApEn), sample entropy (SampEn), and Lempel-Ziv complexity (LZ). We analyzed the market complexity/unpredictability for 43 cryptocurrency prices that have been trading until recently. In addition, three non-parametric tests suitable for non-normal distribution comparison were used to cross-check quantitatively. Finally, using the sliding time window analysis, we observed the change in the complexity of the cryptocurrency market according to events such as the COVID-19 pandemic and vaccination. This study is the first to confirm the complexity/unpredictability of the cryptocurrency market from the bull market to the COVID-19 pandemic outbreak. We find that ApEn, SampEn, and LZ complexity metrics of all markets could not generalize the COVID-19 effect of the complexity due to different patterns. However, market unpredictability is increasing by the ongoing health crisis.

ALGORITMA GENERALIZED REDUCED GRADIENT BERBASIS MARKOV-SWITCHING MODEL UNTUK OPTIMISASI PORTOFOLIO SAHAM PERBANKAN DI INDONESIA

Optimisasi portofolio pada dasarnya menggunakan model Markowitz dalam menghasilkan portofolio yang efisien, namun portofolio yang terbentuk tidak baik ketika return saham memiliki perubahan regime, seperti pada periode ‘bear’ and ‘bull’ market. Tujuan dari penelitian ini adalah mengembangkan optimisasi portofolio dengan mempertimbangkan kasus perubahan regime, serta menerapkannya pada data runtun waktu yang memiliki perubahan regime dalam rangka pembentukan portofolio yang lebih efisien. Metode yang digunakan adalah algoritma generalized reduced gradient (GRG) berbasis Markov-switching model (MSwM). Pada penulisan ini akan dihasilkan algoritma pemrograman dalam software R untuk membuat paket program GRG berbasis MSwM yang akan digunakan untuk optimisasi portofolio pada kasus perubahan regime. Kinerja portofolio yang terbentuk dievaluasi dengan pengukuran risiko yaitu standar deviasi. Jenis data yang digunakan adalah data sekunder yang berisi saham-saham perbankan dari enam saham terpilih yang aktif di IDX Bursa Efek Indonesia pada tahun 2013-2018, yaitu: saham BRI, BNI, BTN, Bank Mandiri, BCA, dan Bank Danamon. Hasil diperoleh algoritma pemrograman untuk program GRG berbasis MSwM untuk optimisasi portofolio pada kasus perubahan regime, serta diperoleh portofolio saham perbankan yang optimal untuk tiga kriteria investor. Pada penelitian ini, portofolio terbaik jatuh pada kriteria investor yaitu meminimalkan risiko pada ekspektasi return tertentu. Penelitian ini memberikan kesimpulan bahwa algoritma GRG berbasis MSwM menghasilkan bobot portofolio berdasarkan fenomena “bull” and “bear” market, sehingga bobot portofolio yang terbentuk lebih realistis didalam pasar modal.

Spillover Effect of US Monetary Policy to ASEAN Stock Market

This study analyzes the spillover effects of the US monetary policy on the ASEAN stock market with Markov switching model and investigates differences in empirical results of each country from ASEAN member. The results of this study have important implications for asset price allocation, specifically in the case of a transition between US and other small countries. The results showed that the ASEAN stock market is more affected by the US interest rates during bull-market than bear-markets. This can be seen from the increasing of stock market volatility during expansion comparing with recession period. Therefore, the stock markets of ASEAN countries will not be easily affected by the dollar rate during financial crisis or the recession period. Keywords: stock market, monetary policy, spillover effect, Markov-switching modelEfek Spillover pada Perubahan Kebijakan Moneter Amerika Terhadap Stock Market di ASEANAbstrak: Penelitian ini menganalisis efek spillover akibat adanya perubahan kebijakan moneter Amerika terhadap stock market di ASEAN dengan model Markov switching dan menginvestigasi terkait ada atau tidaknya perbedaan pada hasil empiris di setiap negara anggota ASEAN. Hasil penelitian ini memberikan implikasi penting bagi mekanisme transisi harga aset, khususnya dari Amerika terhadap negara dengan skala perekonomian kecil. Hasil penelitian menunjukkan bahwa stock market ASEAN lebih mudah terpengaruh oleh tingkat suku bunga Amerika pada saat kondisi bull-market dibandingkan saat bear-market. Hal ini dapat dilihat dari tingginya volatilitas stock market pada saat ekspansi dibandingkan saat periode resesi, sehingga stock market negara-negara ASEAN tidak akan mudah terpengaruh oleh dollar pada saat perekonomian mengalami krisis atau saat periode resesi. Kata kunci: stock market, kebijakan moneter, spillover effect, model Markov-switching

Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode

This study uses Markov switching vector autoregression (MS-VAR) model to explore the asymmetric effects of China’s monetary policy on the stock market in the bull market and the bear market. With China’s economy in a rapid development, China’s stock market as the main representative of the virtual economy has attracted large assets. Since 1990 to the present, China’s stock market has experienced several times states’ change between the bull market and bear market. The results indicate that China’s quantity-based direct instrument and price-based indirect instrument have asymmetric effects on the stock market in the bull market and the bear market. Moreover, the relationship between China’s economy and stock market exist a degree of dichotomy. Furthermore, China’s monetary policy has stronger effects on the bull market than the bear market.