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ANALISIS STRATEGI MOMENTUM DIBURSA EFEK INDONESIA (Pada Perusahaan Manufaktur)

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  • Begawati, Nova

Abstract

Penelitian ini bertujuan untuk membuktikan adanya penerapan momentum strategi di Bursa Efek Indonesia. Pada penelitian ini digunakan beberapa perusahaan manufaktur yang listed di Bursa Efek Indonesia. Data yang digunakan adalah data sekunder dalam bentuk perkembangan harga saham perusahaan secara individu, dan indeks harga saham gabungan (IHSG) yang diperoleh dari web-side www.yahoo.com/finance dan www.idx.co.id. Data yang digunakan adalah data bulanan dari tahun 2002 – 2012. Untuk melakukan tahapan pengolahan data maka digunakan pengujian uji beda dengan menggunakan uji statistik. Berdasarkan hasil pengujian diperoleh hasil yang menunjukan adanya perbedaan cumulative average abnormal return setelah dilakukan pengurangan antara perusahaan winner dengan loser. Kecenderungan yang terbentuk menunjukan bahwa nilai rata rata cumulative average abnormal return perusahaan winner berada diatas 0 dan nilai t-hitung bertanda positif yang menunjukan bahwa perusahan winner tidak mengalami perubahan posisi begitu pun dengan perusahaan loser kecenderunan pergerakan harga saham dan abnormal return yang diperoleh investor terus mengalami peningkatan. Kondisi ini menunjukan implementasi momentum strategi berjalan dengan efektif.

Suggested Citation

  • Begawati, Nova, 2019. "ANALISIS STRATEGI MOMENTUM DIBURSA EFEK INDONESIA (Pada Perusahaan Manufaktur)," OSF Preprints h4y8z, Center for Open Science.
    • Handle: RePEc:osf:osfxxx:h4y8z
    DOI: 10.31219/osf.io/h4y8z
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