MOMENTUM PADA RETURN MINGGUAN

• المؤلفون الرئيسيون: , INNEKE STASIA PUTRI LIEY, , Prof. Dr. Jogiyanto H.M., M.B.A., Akt
• التنسيق: Theses and Dissertations NonPeerReviewed
• منشور في: [Yogyakarta] : Universitas Gadjah Mada 2012
• الموضوعات: ETD
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/100719/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=57397

This research is based on the problem of momentum phenomenon existence on weekly return that is influenced by investor behavior in responding an information. This research tests the performance of momentum strategy application through resulted profit and test the past return influence of winner loser�s portfolio, firm size, and book to market equity toward future return on stock market in Indonesia. The testing is done to see the effect of factors streghten momentum toward future return trhough momentum trading strategy. Momentum is proxied by winner minus loser variable that is the gap between portfolio return of winner stock and portfolio return of loser�s stock. The One Sample T-test is used to know the momentum strategy profitability on each lag period that is k =1,2,13,2,6,52 week. Source model of momentum strength toward future return in stock market in Indonesia can bee seen from the influence of past return from winner loser portfolio, firm size, and book to market equity. The sample of this research is all firm registered in Indonesian Stock Exchange (BEI) on the observation period of 2009-2011. The data collection is conducted with purposive sampling method. The result of this research indicates that momentum strategy profitability which is based on winner loser stock portfolio can shows the significant benefit of momentum strategy. The past return of winner loser portfolio, firm size, and book to market equity also give big contribution to the forming of future stock return in Indonesian stock exchange.