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Sector rotation investment strategy in Indonesia Stock Exchange
Ambarita A.P.a, Soekarno S.a
a School of Business and Management, Institut Teknologi Bandung, Indonesia
[vc_row][vc_column][vc_row_inner][vc_column_inner][vc_separator css=”.vc_custom_1624529070653{padding-top: 30px !important;padding-bottom: 30px !important;}”][/vc_column_inner][/vc_row_inner][vc_row_inner layout=”boxed”][vc_column_inner width=”3/4″ css=”.vc_custom_1624695412187{border-right-width: 1px !important;border-right-color: #dddddd !important;border-right-style: solid !important;border-radius: 1px !important;}”][vc_empty_space][megatron_heading title=”Abstract” size=”size-sm” text_align=”text-left”][vc_column_text]This study examines whether sector rotation investment strategy can generate superior return. In certain economic condition, one sector can perform better than the other sector. Principle of this investment strategy is investing in sectors that perform better than the other. Performance of one sector has strong correlation with economic condition and we use business cycle to describe the economic condition. We examined performance of every sector over business cycle from 2001-2012. We divide the phase of business cycle to three periods: early expansion, late expansion and recession. The phases identified from macroeconomic analysis. Macroeconomic indicator that used to to identify the business cycle are global GDP, Indonesia GDP and inflation rate in Indonesia. Interestingly, we found that global GDP has larger impact to Indonesia capital market than Indonesia GDP itself, so we use the global GDP as main source to identify business cycle in Indonesia. Every business cycle phase has different duration, depend on the change on economic condition. We build a portfolio simulation that implement the sector rotation investment strategy after choose the best sector in every business cycle phase. We select the most liquid and largest capitalization stock from LQ 45 Index. Return generated from implementing the strategy is higher than return of Jakarta Composite Index. We conclude that, sector rotation investment strategy is an optimal strategy that can be applied by investors to generate superior return in Indonesia Stock Exchage. © IDOSI Publications, 2013.[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Author keywords” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Indexed keywords” size=”size-sm” text_align=”text-left”][vc_column_text]Business cycle,Macroeconomic,Sector rotation[/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”Funding details” size=”size-sm” text_align=”text-left”][vc_column_text][/vc_column_text][vc_empty_space][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][vc_empty_space][megatron_heading title=”DOI” size=”size-sm” text_align=”text-left”][vc_column_text]https://doi.org/10.5829/idosi.wasj.2013.28.efmo.27011[/vc_column_text][/vc_column_inner][vc_column_inner width=”1/4″][vc_column_text]Widget Plumx[/vc_column_text][/vc_column_inner][/vc_row_inner][/vc_column][/vc_row][vc_row][vc_column][vc_separator css=”.vc_custom_1624528584150{padding-top: 25px !important;padding-bottom: 25px !important;}”][/vc_column][/vc_row]