Analisis efek return momentum pada saham-saham BEI periode 2003 sampai dengan 2007

Dananjaya, Yanuar (2010) Analisis efek return momentum pada saham-saham BEI periode 2003 sampai dengan 2007. Masters thesis, Widya Mandala Catholic University Surabaya.

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Abstract

The goal of this research is to prove the phenomena of return momentum in Indonesian stock market. This phenomena of return momentum has been shown to be present in various stock market in all continents, namely America, Europe, Asia, Africa, and Australia. However, research that study this phenomena in Indonesian stock market is still lacking. Return momentum is interesting in the sense that it defies the efficient market hypothesis. By proving the existence of return momentum, efficient market hypothesis can be refuted. The research is done by forming a winner portfolio consist of 15 stocks with highest return in a certain periode, and checking if the 15 stocks keep earning high return in the subsequent periode. Here high return is defined as statistically significant higher return compared to IHSG in the same periode. Surprisingly, this research showed that no return momentum exist in Indonesian market for periode of 3 and 6 months. A possible explanation is that the momentum has disapeared after 3 months. However, a sample checking of periode 1 week and 1 month also showed no evidence of return momentum.

Item Type: Thesis (Masters)
Department: ["eprint_fieldopt_department_Graduate School" not defined]
Uncontrolled Keywords: Return momentum, momentum investing
Subjects: Business
Business > Financial Management
Divisions: Graduate School > Master Program in Management
Depositing User: Sri Kusuma Dewi
Date Deposited: 31 Mar 2015 02:11
Last Modified: 31 Mar 2015 02:11
URI: http://repository.wima.ac.id/id/eprint/1750

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