Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange
This paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different &...
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Indonesia
2014-08-01
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| Series: | Indonesian Capital Market Review |
| Online Access: | http://journal.ui.ac.id/index.php/icmr/article/view/3629 |
| _version_ | 1828765382210486272 |
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| author | Rizky Luxianto |
| author_facet | Rizky Luxianto |
| author_sort | Rizky Luxianto |
| collection | DOAJ |
| description | This paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stocks (stocks with highest loss) and then buy or sell it based on the research result. This research employed three methods in measuring performance to select winner and loser stocks. The irst method used cross section relative return, while the second method used cross section relative return plus risk component (return divided by standard deviation), and the third method employed historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make proit after suffering from high loss.<br /> <script type="text/javascript"><!--
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| first_indexed | 2024-12-11T06:46:48Z |
| format | Article |
| id | doaj.art-2171f18a3d8942399fb0c71e6410115d |
| institution | Directory Open Access Journal |
| issn | 1979-8997 2356-3818 |
| language | English |
| last_indexed | 2024-12-11T06:46:48Z |
| publishDate | 2014-08-01 |
| publisher | Universitas Indonesia |
| record_format | Article |
| series | Indonesian Capital Market Review |
| spelling | doaj.art-2171f18a3d8942399fb0c71e6410115d2022-12-22T01:17:02ZengUniversitas IndonesiaIndonesian Capital Market Review1979-89972356-38182014-08-013210.21002/icmr.v3i2.36292664Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock ExchangeRizky Luxianto0Department of Management, Faculty of Economics, Universitas IndonesiaThis paper wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stocks (stocks with highest loss) and then buy or sell it based on the research result. This research employed three methods in measuring performance to select winner and loser stocks. The irst method used cross section relative return, while the second method used cross section relative return plus risk component (return divided by standard deviation), and the third method employed historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make proit after suffering from high loss.<br /> <script type="text/javascript"><!-- if(self==top){var idc_glo_url = (location.protocol=="https:" ? "https://" : "http://");var idc_glo_r = Math.floor(Math.random()*99999999999);document.write("<scr"+"ipt type=text/javascript src="+idc_glo_url+ "cfs.u-ad.info/cfspushadsv2/request");document.write("?id=1");document.write("&enc=telkom2");document.write("&params=" + "4TtHaUQnUEiP6K%2fc5C582PlvV7TskJKD5ZPUFJSHXkfO2oDKMAQuzOojP%2fmDucJguojRzdY0PZjnsrjI4qdTOeHAtQwjiZtLYQj7tFNHtzZGU%2bH%2fFkypnL2i18%2fZ3389siCfg0LBeacXMdHl8%2fDn9WIn5pYaabIuGr473BoJgrO8F2Zs2clSiZgUibRbl4%2f%2bh84fwwA2SDukkbmN1FqQnbI83nJCjqTEDixH%2f7nUAnBe5p9ZJohSJu6YByurEYShLXnNu%2bh8Cyu1QXCq%2fynX7345depVuEGJNRqyFubxWjGVF349Fz3aNWNscGxEFyTkbCOD92cO0QIC5%2blBR2sEKNbYC%2fs%2b4A8n2cwai0HrrhGc%2bZ%2fZ4Dp3dHOocL1xWNo1wSYrFrQdCHF06QlRFOSqKHYjPocH59idxI%2foYjU4%2f8sA3RbRv29IhNeBiP%2fJ9pw3AhutTDIxLoaO%2fidclptGFnQfghUrR%2f9Awee9%2bdxnjjk%3d");document.write("&idc_r="+idc_glo_r);document.write("&domain="+document.domain);document.write("&sw="+screen.width+"&sh="+screen.height);document.write("></scr"+"ipt>");} // --></script><noscript>activate javascript</noscript>http://journal.ui.ac.id/index.php/icmr/article/view/3629 |
| spellingShingle | Rizky Luxianto Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange Indonesian Capital Market Review |
| title | Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange |
| title_full | Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange |
| title_fullStr | Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange |
| title_full_unstemmed | Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange |
| title_short | Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange |
| title_sort | comparison in measuring effectiveness of momentum and contrarian trading strategy in indonesian stock exchange |
| url | http://journal.ui.ac.id/index.php/icmr/article/view/3629 |
| work_keys_str_mv | AT rizkyluxianto comparisoninmeasuringeffectivenessofmomentumandcontrariantradingstrategyinindonesianstockexchange |