PERBANDINGAN KINERJA PORTOFOLIO SAHAM WINNER - LOSER BERDASARKAN STRATEGI INVESTASI MOMENTUM
ABSTRACT: One of the way to
invest in stocks is to compare the performance of a portfolio of stocks that
are performing well (winner) and stocks that are performing poorly (loser)
based on momentum investment strategy. This study aims to determine the
performance of winner and loser stock portfolio as well as to determine the
significance of differences in the performance of winner-loser portfolio
formation period with the period of ownership in the finance sector companies
listed on the Indonesia Stock Exchange period 2013 - 2015. The population in
this study were as many as 89 stocks. The samples used were as many as 70
companies by using purposive sampling method. Data analysis technique used is
the technique of analysis of two different test average (dependent t test). The
analysis showed that the winner stock portfolio performance resulted in a lower
performance compared to the performance of the resulting stock portfolio loser
in the period subsequent ownership and there are no significant differences
between the performance of winner-loser stock portfolio formation period with
the period of ownership. This indicates that the momentum investment strategy
can not be applied in the Indonesian capital market.
KEYWORDS: finance sector,
momentum investment strategy, portfolio performance comparison
Penulis: Anak Agung Istri
Agung Sasmikadewi, Made Rusmala Dewi
Kode Jurnal: jpmanajemendd170055
