Prediktabilitas Sample Skewness Terhadap Return Pasar Saham Indonesia

This study investigates the predictability of sample skewness on Indonesian stock market returns as represented by JCI, LQ45, and JCI. The period starts from January 2001 to December 2022, with a prediction July 2009 2022 that accommodates COVID-19 pandemic crisis. results showed was able predict excess one month in advance. ability emerged, especially when crisis hit. finding indicates investors tend look for securities have lottery-like characteristics, which causes price these experience mispricing. However, this mispricing can be adjusted next so strategy is not profitable implement.
 Keywords: Market return predictability, Sample skewness, variance
 Abstrak
 Penelitian ini bertujuan untuk menginvestigasi kemampuan prediksi (prediktabilitas) terhadap pasar saham indonesia yang diwakili oleh IHSG, dan Periode sampel dimulai dari Januari sampai Desember dengan periode Juli mengakomodir krisis pandemi Covid-19. Hasil penelitian menunjukkan bahwa mampu memprediksi satu bulan ke depan. Kemampuan muncul khususnya saat Covid-19 melanda. Temuan mengindikasikan investor cenderung mencari sekuritas memiliki karakteristik seperti lotere menyebabkan harga mengalami Akan tetapi, dapat disesuaikan di selanjutnya sehingga strategi tidak menguntungkan diterapkan.
 Prediktabilitas pasar, variance