Perbandingan kinerja cross sectional dan time series momentum di Indonesia

Wongso, Wongso (2019) Perbandingan kinerja cross sectional dan time series momentum di Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Momentum studies on stock trading tend to be done with cross sectional approach. However, at this time the research approach time series is claimed to give better results than cross sectional. Therefore, this study uses stock trading data for 20 years (1997 s / d 2018) of large cap companies (80th percentile) to explain the cross sectional approach to momentum and time series momentum in Indonesia. This study seeks to answer problems regarding the approach which momentum results in better performance, what causes the differences between the two momentum approaches, and how the result is when time series momentum is compared with cross sectional time varying investment (CSTVM). Stock return calculation with ranking period for one, three, six, nine, 12, 36, and 60 months as well as a holding period for one, three, six, nine, 12, 36, and 60 months indicates that time Momentum series performs better than cross sectional momentum generally. This is reinforced by the regression of returns between the approaches (cross alpha comparison). This difference in performance is due to the construction of each of the strategies where time series momentum is a net long position strategy while cross sectional momentum is zero net investment strategy. Thus this study compares again Time series performance with cross sectional momentum which has been scaled up with additional time series investment, so it is called CSTVM. On Finally this research shows that time series is again momentum superior to CSTVM. / Studi momentum pada perdagangan saham cenderung dilakukan dengan pendekatan cross sectional. Namun pada dewasa ini penelitian dengan pendekatan time series diklaim memberikan hasil yang lebih baik daripada cross sectional. Oleh karena itu, penelitian ini menggunakan data perdagangan saham selama 20 tahun (1997 s/d 2018) dari perusahaan yang berkapitalisasi besar (percentile 80) untuk menjelaskan pendekatan cross sectional momentum dan time series momentum di Indonesia. Penelitian ini berusaha menjawab permasalahan mengenai pendekatan momentum mana yang menghasilkan kinerja lebih baik, apa yang menyebabkan adanya perbedaan dari kedua pendekatan momentum tersebut, serta bagaimana hasilnya bila time series momentum dibandingkan dengan cross sectional time varying investment (CSTVM). Kalkulasi return saham dengan ranking period selama satu, tiga, enam, sembilan, 12, 36, dan 60 bulan serta holding period selama satu, tiga, enam, sembilan, 12, 36, dan 60 bulan menunjukkan bahwa time series momentum berkinerja lebih baik dibandingkan cross sectional momentum secara umum. Hal ini diperkuat kembali oleh regresi return antar pendekatan (cross alpha comparison). Perbedaan kinerja ini disebabkan oleh konstruksi dari masing-masing strategi dimana time series momentum merupakan net long position strategy sedangkan cross sectional momentum merupakan zero net investment strategy. Dengan demikian penelitian ini membandingkan kembali kinerja time series momentum dengan cross sectional momentum yang telah discale up dengan tambahan investasi time series, sehingga disebut CSTVM. Pada akhirnya penelitian ini menunjukkan bahwa lagi – lagi time series momentum lebih unggul dari CSTVM.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Wongso, WongsoNIM01619170072UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorKim, Sung SukNIDN0324106805UNSPECIFIED
Additional Information: T 19-17 WON p
Uncontrolled Keywords: cross sectional momentum ; time series momentum ; cross sectional time varying investment (CSTVM)
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: Phillips Iman Heri Wahyudi
Date Deposited: 07 May 2021 04:51
Last Modified: 06 Aug 2021 03:23
URI: http://repository.uph.edu/id/eprint/35666

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