Since 2014
The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange
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| Creator |
Rakhmat Luthfiansyah Mosii; Faculty of Economics and Business, Universitas Indonesia
Sigit Sulistiyo Wibowo; Faculty of Economics and Business, Universitas Indonesia |
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| Subject |
stock returns, momentum strategy, Indonesian stock exchange, efficient market hypothesis, CAPM
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| Description |
We investigate the profitability of style and price momentum strategy in the Indonesian stock market from the year 2000 to 2015. We find the style momentum strategy yields significant positive returns while the price momentum strategy tends to produce negative returns. This result confirms the findings of Lewellen (2002) that style momentum returns are generally stronger than the conventional momentum. The average monthly returns of the double-sorted size-B/M style momentum are ranging from 1.98% to 2.64% and persistent after controlling for market factor using JSX index. Our findings suggest investors should utilize publicly available information such as size and book-to-market ratio on their investment decision in the Indonesian stock market.
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| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
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| Contributor |
—
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| Date |
2019-08-28
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/11174
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| Source |
Indonesian Capital Market Review; Vol 11, No 1 (2019): Vol 11, No 1 (2019): January 2019
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| Language |
en
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