Pengaruh Aktivitas Informed Traders terhadap Efektivitas Sinyal Analisis Teknikal dalam Perspektif Behavioral Finance

Hana Hanifatun Nisa, R. Agus Sartono, Prof., Dr., M.B.A.

2026 | Skripsi | MANAJEMEN

Penelitian ini mengkaji hubungan antara informed trading dan efektivitas analisis teknikal, dengan menekankan bahwa interaksi antara perilaku contrarian trading dan bias perilaku memiliki peran penting dalam membentuk reliabilitas sinyal teknikal. Dengan menggunakan Proportion of Contrarian (PCN) yang dikategorikan berdasarkan ukuran transaksi (kecil, menengah, dan besar), serta memasukkan disposition effect sebagai variabel moderasi, penelitian ini memberikan perspektif mengenai aktivitas informed trading dalam konteks pasar berkembang. Menggunakan model regresi panel multivariat dengan pendekatan firm-fixed effects, penelitian ini menganalisis pengaruh variabel-variabel tersebut terhadap persistensi dan profitabilitas strategi Simple Moving Average (SMA) crossover (SMA 5, 10, dan 20), yang diukur melalui Holding Days (HD) dan Next- Day Return (NDR). Hasil penelitian menunjukkan bahwa transaksi contrarian berukuran menengah secara signifikan menurunkan persistensi sinyal teknikal dalam jangka pendek. Selain itu, disposition effect memperkuat pengaruh transaksi berukuran besar terhadap persistensi sinyal, serta memperkuat hubungan antara transaksi berukuran menengah dengan profitabilitas jangka pendek. Temuan ini memberikan bukti empiris bahwa informed traders, terutama ketika berinteraksi dengan bias perilaku, dapat mendistorsi sinyal teknikal dan mengurangi reliabilitasnya. Penelitian ini berkontribusi pada literatur dengan memperluas penggunaan Proportion of Contrarian sebagai proksi informed trading serta menunjukkan bagaimana faktor perilaku memoderasi pengaruhnya terhadap analisis teknikal.

This thesis investigates the relationship between informed trading and the effectiveness of technical analysis, positing that the interaction between contrarian trading behavior and behavioral biases plays a critical role in shaping technical signal reliability. By employing the Proportion of Contrarian Trades categorized by transaction size (small, medium, and large), and incorporating the disposition effect as a moderating variable, this study provides a perspective on informed trading activities in an emerging market context. Using a multivariate panel regression model with firm-fixed effects, the study examines the impact of these variables on the persistence and profitability of Simple Moving Average (SMA) crossover strategies (SMA 5, 10, and 20), measured through Holding Days (HD) and Next-Day Return (NDR). The findings reveal that medium-sized contrarian trades significantly reduce the persistence of technical signals in short-term horizons. Furthermore, the disposition effect amplifies the influence of large trades on signal persistence and strengthens the relationship between medium-sized trades and short-term profitability. These results provide empirical evidence that informed traders, particularly when interacting with behavioral biases, can distort technical signals and reduce their reliability. The study contributes to the literature by extending the application of Proportion of Contrarian as a proxy for informed trading and by demonstrating how behavioral factors condition its impact on technical analysis. Ultimately, the findings challenge the weak-form Efficient Market Hypothesis in emerging markets and offer important implications for investors and market regulators.

Kata Kunci : behavioral finance, informed traders, bias perilaku, disposition effect, analisis teknikal