Kinerja Portofolio Saham Berdasarkan Strategi Investasi Momentum di Pasar Modal Indonesia
ABSTRACT: This research
analyzes stock portfolio performance based on momentum investment strategy in Indonesian
capital market. The sample consists of public companies listed in the Jakarta
Stock Exchange that were actively traded between the periods of December 2001
until December 2007. Sampling method used in this research is multiphase
sampling method which is analyzed by using abnormal return stock portfolio
performance and means difference statistical test. The results of the analysis show that momentum
investment strategy can not be used by
investors and investment managers to form stock portfolio. It can not produce a
positive and significant difference in the performance of winner and loser stock
portfolio Indonesian capital market.
Penulis: I Gst.
Bgs.Wiksuana
Kode Jurnal: jpmanajemendd090182
