Value at Risk of Momentum Investment Strategy: Indonesia's Liquid Stocks Portfolio

  • A.Rowland Bismark Fernando Pasaribu

Abstract

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid shares in Indonesia stock exchange period 2008-2016. The purpose of this study are to analyse the value of momentum investment strategy risk reduction with the Value at Risk approach to historical-volatility approach and examine differences in risk reduction performance by winner and loser portfolios formed from a collection of liquid shares in the Indonesia stock exchange for the period 2008-2016. The stocks selection method in forming winners and losers portfolio done by Jegadesh and Titman procedure (1993) followed by calculation of risk reduction with the VaR-HisVol approach. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk reduce than loser.

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Published
2019-05-21
How to Cite
PASARIBU, A.Rowland Bismark Fernando. Value at Risk of Momentum Investment Strategy: Indonesia's Liquid Stocks Portfolio. Jurnal Manajemen Indonesia, [S.l.], v. 19, n. 1, p. 30-45, may 2019. ISSN 2502-3713. Available at: <//journals.telkomuniversity.ac.id/ijm/article/view/1982>. Date accessed: 24 june 2019. doi: https://doi.org/10.25124/jmi.v19i1.1982.