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Politeknik Negeri Batam
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Journal : Journal of Indonesian Economy and Business

 1 
A TEST OF GRAHAM'S AND LYNCH'S STOCK SCREENING CRITERIA ON SHARES TRADED ON THE INDONESIAN STOCK EXCHANGE (IDX) Dwi Kartikasari
Journal of Indonesian Economy and Business (JIEB) Vol 31, No 1 (2016): January
Publisher : Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (351.955 KB) | DOI: 10.22146/jieb.10318

Abstract

Benjamin Graham and Peter Lynch listed criteria for screening stocks, which investors could use to identify undervalued stocks that would outperform the market. Numerous tests have been conducted in the United States and other countries, but not yet in Indonesia. Thus, the author aims to test the applicability of Graham’s and Lynch’s formulation on shares traded on the Indonesian Stock Exchange (IDX) by screening stocks that meet the various sets of Graham's and Lynch's criteria and then measuring the performance of the portfolios over the years from 2010 to 2014. The author uses a simple linear regression to measure the performance of the portfolios against the IDX Composite (IHSG). The author discovered that investors who used the combined criteria of Lynch earned positive risk-adjusted returns, of 28.81 percent per year in 2010-2012 and 27.33 percent per year in 2012-2014. While investors who used a combination of two of Graham’s criteria obtained significant risk-adjusted returns of 47.55 percent annually in 2010-2012 and 5.92 percent annually in 2012-2014. However, investors who implemented a combination of three of Graham’s criteria did not earn positive risk-adjusted returns consistently during the research period. The increasingly complex criteria do not improve the performance of the portfolios, because when more criteria are used, less and less stocks can meet the criteria, hence the portfolios become more volatile and investors do not enjoy the benefits from diversification.Keywords: Graham; Lynch; Stocks; the Indonesia Stock Exchange (IDX)JEL Classification: G11, G17
Co-Authors Adhitomo Wirawan Afrianto Afrianto Agus Supriyadi Agussa Putra, Pandu Andayani, Nur Rahmah Andi Erna Mulyana Ari Wibowo Arisa Dwi Amalia Aurora, Angel Ayu Puspitasari Ayu Puspitasari, Ayu Bellayanni Sulastri Br Simatupang Bestario Harlan, Fandy Citra Mawardika Asellawati Siregar Desi Ratna Sari, Desi Ratna Desi Rotua Sitompul Dian Mulyaningtyas Dina Hidayani Doni Putra Utama Dwi Irianto Elvianto Elvianto Ersya, Ozy Diva Fandy Bestario Harlan Fikri, Alif Fikri, Nuzuly Fillandini, Raja Gita Anadia Maulina Hammam Rofiqi Agustapraja Harlan, Fandy Bestario Hasanah, Raja Fillandini Nurul Hendrawan, Bambang Hepiyanto, Rasio Ika Saudia Farida Inayaturrochmah Inayaturrochmah Intan, Sutra Junafuji Oka Kastella, Cantika Yosdianti Kintan Benvia Cherny Kurniawan Sabtiadi Lisa Wardi Marihot Nasution Marihot Nasution Maulana, Mahendra Andiek Melpa Syari Kristiani Turnip Mia Syafrina Mohammad Nabil Almunawar, Mohammad Nabil Muhamad Nabil Almunawar Muhammad Anshari Ali Muhammad Anshari, Muhammad Muhammad Rasyid Ridho Lubis Muhammad Zaenuddin Muhammad Zainuddin Mulyana, Andi Erna Mulyaningtyas, Dian Muslim Ansori Nabilah, Salwa Nanik Lestari Nisa, Atiqotun Nur Annisa Nur Salina Olifia, Jessica Othanindyah, Larasati Pratiwi, Tika Tsaniya Putrhi Pranitha Napitu Rahma Dhana, Rio Rahmat Hidayat RIA ANGGRAINI Riesky Saputri Pratama Canover Riri Zelmiyanti, Riri Riza Kurniasari Rusda Irawati S.M., Ilham Sahendra, Rezihardi Septiana, Maryani Septiani Riwanti Seto Sulaksono Adi Wibowo, Seto Sulaksono Adi Shinta Wahyu Hati Shinta Wahyu Hati Sinarti, Sinarti Sri Zuliarni Sumardi, Wardah Haki Haji Suyana Suyana Syafrina, Mia T, Thoif Wahyu Hati, Shinta Wardah Hakimah binti Hj Sumardi Widya Presilia Wirawan, Adhitomo Yosi Handayani Yosi Handayani Yulinda Zakariyah, Muhammad Agus