Perbandingan Akurasi Prediksi Harga Saham Berbasis Analisis Fundamental dan Teknikal dengan Moderasi Volatilitas Pasar

Abstract

The Indonesian capital market faces stability challenges reflected in fluctuations in financial-sector stock prices during the 2020–2024 period. This study aims to compare the accuracy of stock price predictions based on fundamental and technical analysis and to examine the role of market volatility as a moderating variable. A quantitative approach was employed using panel data from 15 financial-sector issuers listed on the Indonesia Stock Exchange, comprising 18,150 daily observations. The analysis used Moderated Regression Analysis (MRA) with a Fixed Effect Robust technique, followed by post-forecast evaluation using RMSE, MAE, and MAPE, and a Mann-Whitney U Test to compare predictive accuracy. The results show that both fundamental and technical analysis significantly affect stock prices. However, the technical model demonstrates better predictive accuracy on a daily horizon based on RMSE, MAE, mean rank, and squared residuals. Market volatility has a direct negative and significant effect on stock prices, does not consistently moderate the relationship between fundamental analysis and stock prices, but partially moderates the technical relationship through the RSI indicator. These findings imply that prediction methods should be aligned with investment horizons and market volatility, with technical analysis being more suitable for short-term decisions while fundamental analysis remains relevant for long-term valuation.