The Application Of Fundamental And Technical Model In The Investment Decision Making: Empirical Study On The Companies Listed In Jakarta Islamic Index

摘要

Investors are interested to invest in Indonesia Stock Exchange with the aim of gaining abnormal profit based on Islamic syariah. Some theories and studies have concluded that the prevailed Efficient Market Hypothesis (EMH) revealed that security analysis was just a useless effort as it would not provide significant abnormal return.The objective of this study were (1) to analyze the EMH theory applied for investment transaction in BEI ( weak or semi strong ); (2) to examine the technical analysis in providing significant abnormal return for the investor and (3) to analyze the profitability of fundamental model. Daily and fundamentaly data of the stock in Jakarta Islamic Index (JII) from 2010 to 2014 were analyzed using descriptive and inferring methods. Runs-test and auto correlation test were employed to examine the EMH, while profit announcement was used to examine semi strong EMH. Trend moving indicators such as moving average and Parabolic Stop were used to test the profitability of technical model, while PER and PBV were used to test the profitability of fundamental model.The results showed that the stock market was not efficient or weak form. However, a test toward either AAR or CAR showed that the stock market was efficient in semi strong. The use of buy and sell signal resulted from the technical and fundamental models could generate positive abnormal return but was not statistically significant.