Eksplorasi momentum di bursa efek Indonesia

Sulistyo, Sulistyo (2018) Eksplorasi momentum di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This study aims to find momentum and reversal patterns that exist in the Indonesian Stock Exchange, especially in Kompas100 shares. Return growth from various portfolio combinations is observed from the formation period to the holding period by using the accumulation period and average period as a method of calculating return growth. In addition, company’s characteristics added into the return growth calculation to observe the influence of the company's characteristics on return growth. The return growth pattern is used as the basis for determining presence of momentum and reversal pattern. As a result, formation period of 12 months and a holding period of 12 months consistently showed the presence of Momentum. Combination of formation periods of 12 months and a holding period of 24 months shows presence of reversal. The addition of company's characteristics does not affect the pattern of returns in general. / Penelitian ini bertujuan untuk dapat mencari pola Momentum dan reversal yang berlaku di pasar saham Indonesia khususnya saham Kompas100. Pertumbuhan return dari berbagai kombinasi portofolio diamati sejak dari formation period sampai holding period dengan menggunakan accumulation period dan average period sebagai metode perhitungan pertumbuhan return. Selain itu, peneliti menambahkan beberapa karakteristik perusahaan kedalam persamaan perhitungan return untuk mengamati pengaruh karakteristik perusahaan tersebut terhadap pertumbuhan return. Pola yang terbentuk dari pertumbuhan return digunakan peneliti sebagai dasar penentuan Momentum dan reversal yang terjadi. Dari hasil penelitian, formation period 12 bulan dan holding period 12 bulan secara konsisten menunjukan adanya Momentum. Selain itu, kombinasi formation period 12 bulan dan holding period 24 bulan menunjukan adanya fenomena pembalikan arah return (reversal). Penambahan karakteristik perusahaan didalam persamaan tidak mempengaruhi pola return secara umum.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Sulistyo, SulistyoNIM00000025861UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorHulu, EdisonNIDN0315085902UNSPECIFIED
Additional Information: T 19-16 SUL e
Uncontrolled Keywords: Momentum ; formation period ; holding period ; accumulation method ; average method
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Depositing User: Users 18 not found.
Date Deposited: 20 May 2021 02:25
Last Modified: 22 Jun 2022 01:38
URI: http://repository.uph.edu/id/eprint/27598

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