BUSINESS CYCLE AND SECTORAL PERFORMANCE: A STUDY ON INDONESIAN CAPITAL MARKET FROM PERIOD OF 2002 – 2011. FINAL PROJECT
By Daymas Ryan Dipo 19009141
Undergraduate Program School of Business and Management Institut Teknologi Bandung
BUSINESS CYCLE AND SECTORAL PERFORMANCE: A STUDY ON INDONESIAN CAPITAL MARKET FROM PERIOD OF 2002 – 2011. Daymas Ryan Dipo 19009141 Date of Examination: August 1st 2012 Date of Graduation: October 20th 2012 School of Business and Management Undergraduate Program Institut Teknologi Bandung Advisor: Ir. Subiakto Sukarno, MBA
ABSTRACT
Capital market as one of the places where investments set in is connected with a country's economic growth. In recent years, the performance of some of the world's capital markets faced a decline or significant stagnation caused by negative or inadequate growth and the financial crisis that hit several countries around the world. On the journey up to this time, amid the economic recovery in the United States and the crisis in Europe, stock markets show significant fluctuations with uncertain direction. This fluctuation, however, also occurs in emerging markets at least in the form of business cycle. Business cycle as one of many economic indicators reveals what state of economy is currently in. Its fundamental characteristic is that business cycle goes in a recurring period, going through expansion, peak, contraction, and trough. This characteristic could be seen as an investing method in different stages of business cycle because there is a sectoral rotation in those stages. With the current general consensus that some sectors tend to be defensive sectors amid contraction or recession period, and some others tend to outperform defensive sectors in expansion period, this paper went deeper into analyzing all sectoral performances in Indonesian Capital Market from period 2002 – 2011 to obtain precious finding in determining whether that general consensus still hold true in the last decade. The research design will include nine different sectors that is categorized as cyclical and non-cyclical sectors along with six biggest market capitalization stocks within each sectors. The result of the study shows that current theory in business cycle sectoral rotation is not proved with the finding that intersector sample does not show any significant differences between them. However, the finding provide an information which stated mining and property as best performer in period of contraction and expansion respectivelly. Keywords: Business Cycle, Indonesian Capital Market, Sectoral Performance. i
BUSINESS CYCLE AND SECTORAL PERFORMANCE: A STUDY ON INDONESIAN CAPITAL MARKET FROM PERIOD OF 2002 – 2011. Daymas Ryan Dipo 19009141
Tanggal Sidang: 1 Agustus 2012 Tanggal Wisuda: 20 Oktober 2012 Program Sarjana Bisnis Manajemen Institut Teknologi Bandung Pembimbing: Ir. Subiakto Sukarno, MBA
ABSTRAKSI
Pasar modal sebagai salah satu tempat investasi dilakukan terhubung dengan pertumbuhan ekonomi suatu negara. Dalam beberapa tahun terakhir, kinerja beberapa pasar modal di dunia menghadapi penurunan atau stagnasi yang signifikan yang disebabkan oleh pertumbuhan negatif atau tidak memadai dan krisis keuangan yang melanda beberapa negara di seluruh dunia. Dalam perjalanan sampai dengan saat ini, di tengah pemulihan ekonomi di Amerika Serikat dan krisis di Eropa, pasar saham menunjukkan fluktuasi yang signifikan dengan arah yang tidak pasti. Fluktuasi ini, bagaimanapun, juga terjadi di pasar negara berkembang paling tidak dalam bentuk siklus bisnis. Siklus bisnis sebagai salah satu dari banyak indikator ekonomi mengungkapkan apa keadaan ekonomi saat ini. karakteristik mendasar bahwa siklus bisnis berada pada periode berulang, akan melalui ekspansi, puncak, kontraksi, dan palung. Karakteristik ini dapat dilihat sebagai metode investasi dalam berbagai tahap siklus bisnis karena ada rotasi sektoral yang bertahap. Dengan konsensus umum saat ini bahwa beberapa sektor cenderung sektor defensif di tengah kontraksi atau periode resesi, dan beberapa lainnya cenderung mengungguli sektor defensif di masa ekspansi, makalah ini meriset lebih dalam dan menganalisa semua kinerja sektoral di Pasar Modal Indonesia dari periode 2002 2011 untuk memperoleh temuan dalam menentukan apakah konsensus umum tersebut masih berlaku dalam dekade terakhir. Desain penelitian akan mencakup sembilan sektor yang berbeda yang dikategorikan sebagai sektor siklis dan non-siklis bersama enam saham kapitalisasi pasar terbesar dalam setiap sektor. Hasil penelitian menunjukkan bahwa teori rotasi siklus bisnis sektoral tidak terbukti dengan temuan bahwa sampel antarsektor tidak menunjukkan perbedaan signifikan. Namun, temuan tersebut memberikan informasi yang menyatakan pertambangan dan properti sebagai sektor dengan performa terbaik di periode kontraksi dan ekspansi. Kata kata kunci: Siklus Bisnis, Pasar Modal Indonesia, Performa Sektoral. ii
VALIDATION PAGE
BUSINESS CYCLE AND SECTORAL PERFORMANCE: A STUDY ON INDONESIAN CAPITAL MARKET FROM PERIOD OF 2002 – 2011.
By: DAYMAS RYAN DIPO ID No: 19009141
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Supervisor
(Ir. Subiakto Sukarno, MBA) (NIP 888099101) iii
FOREWORD
Firstly, I want to thank Allah S.W.T. for His blessings to complete this final project. Mr. Subiakto Sukarno, my best lecturer at SBM-ITB for all of his guidance, kindness, and patience during the time of my study which is very important for me. Mr. Achmad Herlanto for the lectures, support, and kindness. Ms Sylviana Maya and Mr Barli Suyanta for the support and helpful action. I also want to thank to all of the SBM-ITB staffs for the support and help. Thanks to both of my parents, Masruri Yahya and Munardiyah, you are the best parent in the world, thanks for providing me the neccesary things so that I become what I am today. Thanks to my dearest brother and sister Daymas Arangga Radianra, Annisa Bena Amadea, Daymas Dandy Dinulya for the support in completing this project, although sometime i feel disturbed by your noisy activity, just kidding, hehe. I also want to say thanks to Astrid handari, for her patience, kindness, and affection during the time i spent in making this final project. Thanks to Daniel Iskandar and Hartanto Sulim for the time of discussion, sharing, and debating. Lee marvin for consultation on this final project. Ghina Marros and Riyan Satria for the big support, i really miss you guys. Thanks to my dearest friend, M. Ricky Febrian, Giusti Reza, Ahmad Reza, Febrandi Mazani, and all of 21 groups which i can not mention one by one here, i will definitely remember our crazy times . Thanks to all people in SBMITB batch 2009, whom i can not mention one by one. Our time will be missed. Finally I understand that this final project is far from perfection, since God is the only perfect. However I have learnt a lot during the completion of this final project, and I hope it will give benefit and inspirations to the readers, especially to my junior in SBM-ITB.
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TABLE OF CONTENT ABSTRACT.................................................................................................................... i ABSTRAKSI ................................................................................................................. ii VALIDATION PAGE .................................................................................................. iii FOREWORD ................................................................................................................ iv TABLE OF CONTENT ................................................................................................. v List of Figures .............................................................................................................. vii List of Tables .............................................................................................................. viii List of Appendices ........................................................................................................ ix CHAPTER I ................................................................. Error! Bookmark not defined. INTRODUCTION ....................................................... Error! Bookmark not defined. 1.1.
Background .................................................. Error! Bookmark not defined.
1.2.
Problem Identification .................................. Error! Bookmark not defined.
1.3.
Objectives ..................................................... Error! Bookmark not defined.
1.4.
Problem Scope and Limitation ..................... Error! Bookmark not defined.
1.5.
Writing Structure .......................................... Error! Bookmark not defined.
CHAPTER II................................................................ Error! Bookmark not defined. THEORITICAL FOUNDATION ................................ Error! Bookmark not defined. 2.1.
Common Stock ............................................. Error! Bookmark not defined.
2.2.
Market Sector ............................................... Error! Bookmark not defined.
2.3.
Gross Domestic Product ............................... Error! Bookmark not defined.
2.4.
Business Cycle ............................................. Error! Bookmark not defined.
2.5.
Performance Measurement........................... Error! Bookmark not defined.
2.5.1.
Excess Return ....................................... Error! Bookmark not defined.
CHAPTER III .............................................................. Error! Bookmark not defined. METHODOLOGY ...................................................... Error! Bookmark not defined. 3.1.
Research Design ........................................... Error! Bookmark not defined.
3.2.
Problem Identification .................................. Error! Bookmark not defined.
3.3.
Research Variables ....................................... Error! Bookmark not defined.
3.4.
Theoritical Foundation ................................. Error! Bookmark not defined.
3.5.
Hypothesis .................................................... Error! Bookmark not defined.
3.5.1.
Hypothesis in Contraction Period ......... Error! Bookmark not defined.
3.5.2.
Hypothesis in Expansion Period ........... Error! Bookmark not defined. v
3.6.
Data Collection ............................................ Error! Bookmark not defined.
3.7.
Data Processing & Analysis ........................ Error! Bookmark not defined.
3.7.1.
Standard Deviation and Variance ......... Error! Bookmark not defined.
3.7.2.
Normality Test ...................................... Error! Bookmark not defined.
3.7.3.
Homogeneity Test ................................ Error! Bookmark not defined.
3.7.4.
Analysis of Variance ............................ Error! Bookmark not defined.
3.7.5.
Tukey HSD Test ................................... Error! Bookmark not defined.
3.7.6.
Kruskal-Wallist Test ............................. Error! Bookmark not defined.
3.7.7.
Data Processing .................................... Error! Bookmark not defined.
CHAPTER IV ...............................................................Error! Bookmark not defined. DATA AND RESULT ANALYSIS.............................Error! Bookmark not defined. 4.1.
Data Collection ............................................ Error! Bookmark not defined.
4.2.
Data Processing............................................ Error! Bookmark not defined.
4.3.
Hypothesis Test and Analysis ...................... Error! Bookmark not defined.
4.3.1.
Contraction ........................................... Error! Bookmark not defined.
4.3.1.1.
Descriptive Statistics......................... Error! Bookmark not defined.
4.3.1.2.
Normality Test .................................. Error! Bookmark not defined.
4.3.1.3.
Homogeneity Test ............................. Error! Bookmark not defined.
4.3.1.4.
Kruskal Wallis Test .......................... Error! Bookmark not defined.
4.3.2.
Expansion ............................................. Error! Bookmark not defined.
4.3.2.1.
Descriptive Statistics......................... Error! Bookmark not defined.
4.3.2.2.
Normality Test .................................. Error! Bookmark not defined.
4.3.2.3.
Homogeinity Test ............................. Error! Bookmark not defined.
4.3.2.1.
Kruskal Wallis Test .......................... Error! Bookmark not defined.
CHAPTER V ................................................................Error! Bookmark not defined. CONCLUSION AND RECOMMENDATION ...........Error! Bookmark not defined. 5.1.
Conclusion ................................................... Error! Bookmark not defined.
5.2.
Recommendation ......................................... Error! Bookmark not defined.
REFERENCES .............................................................Error! Bookmark not defined. APPENDICES
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List of Figures Figure 2.1 GDP ............................................................ Error! Bookmark not defined. Figure 2.2 Business Cycle ........................................... Error! Bookmark not defined. Figure 3.1 Research Design ......................................... Error! Bookmark not defined. Figure 3.1 Methodology Chart..................................... Error! Bookmark not defined. Figure 4.1 Quarterly GDP Growth Rate Chart ............ Error! Bookmark not defined.
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List of Tables Table 2.1 Market Sector in Jakarta Stock Exchange .. Error! Bookmark not defined. Table 4.1 Stock Grouping Based on Sector ................ Error! Bookmark not defined. Table 4.2 Quarterly GDP Growth Rate 2002 – 2011 . Error! Bookmark not defined. Table 4.3 Expansion and Contraction Table .............. Error! Bookmark not defined. Table 4.4 Stock Excess Return on January 2002 – September 2002 ................. Error! Bookmark not defined. Table 4.5 Stock Excess Return on October 2002 – December 2002 .................. Error! Bookmark not defined. Table 4.6 Jakarta Stock Exchange Index Return Table .............Error! Bookmark not defined. Table 4.7 Descriptive Statistics on Contraction ......... Error! Bookmark not defined. Table 4.8 Normality Test on Contraction Period ....... Error! Bookmark not defined. Table 4.9 Homogeneity Test on Contraction Period .. Error! Bookmark not defined. Table 4.10 Kruskal Wallis Test on Contraction Period .............Error! Bookmark not defined. Table 4.11 Descriptive Statistics on Expansion Period .............Error! Bookmark not defined. Table 4.12 Normality Test on Expansion Period ....... Error! Bookmark not defined. Table 4.13 Homogeneity Test on Expansion Period .. Error! Bookmark not defined. Table 4.14 Kruskal Wallis Test on Expansion Period Error! Bookmark not defined.
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List of Appendices Appendix 1 Market Capitalization Appendix 2 Stock Return Appendix 3 Contraction and Expansion Performance Table
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