| Summary: | This study aims to determine the bearish period of property stock return in
the appropriate time frame. In addition, the study also determines the appropriate
leading indicators as a predictor of the bearish through the determination of
threshold values of the selected leading indicators. Through the selected leading
indicators this study constructed the best composite index of leading indicators,
As well as testing the ability of the composite index in predicting the bearish
period of property stock returns both in sample and out of sample.
All of the purposes of the study are dedicated to meet the needs of investor
in term of information which contains the probability of occurrence of a bearish
period in stock price movements based on macroeconomic conditions. With this
information the investors are expected to be able to determine when the right time
to buy and to sell. In other words, the investors need surveillance information.
Nonparametric method with signaling approach is employed in this study.
While the data used are started from January 1996 to June 2011. The frequencies
of the data are monthly. This study suggesting there are four bearish occurred in
the sample period and 1 bearish period in out of the sample period which is in
October 2008. There are 18 selected economic indicators as leading indicators
with the threshold at its percentile which has minimum NSR value smaller then 1.
In this study also succeeded in forming a composite index I which has a better
predictive power of the composite index II. With the composite index, the bearish
periods, in the sample and out of the sample, can be successfully detected.
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