Momentum Investing Strategy In Idx: An Experiment

Ronald W. Liem
Journal article Journal of Applied Finance and Accounting • November 2012

Unduh teks lengkap
(English, 39 pages)

Abstrak

This research aims to test whether the Momentum investing strategy is better than passive investing strategy. The research method used is experiment design. The population observed is Kompas100 shares. The sample is filtered using several iterations based on the market performance as the momentum points and other fundamental factors to form optimal portfolios. The data used is the quarterly data. The t-test and Mann-Whitney means difference tests are performed to assess the differences of the results of momentum strategy and the market. The results show that momentum strategy provides higher returns than the market does.This experiment suggests that momentum investing strategy is applicable in IDX.

Metrik

  • 104 kali dilihat
  • 99 kali diunduh

Jurnal

Journal of Applied Finance and Accounting

The Journal of Applied Finance and Accounting (JAFA) showcases useful theoretical and methodologi... tampilkan semua