VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA'S LIQUID STOCKS PORTFOLIO
Authors
| Issue | Vol. 19 No. 1 (2019) |
| Published | 21 May 2019 |
| Section | Articles |
| Pages | 30-45 |
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.
Keywords—Investment; Strategy; Portfolio, VaR.
Abstrak
Kemampuan strategi investasi momentum dieksplorasi dalam teminologi pengurangan risiko portofolio dengan metode value at risk pada portofolio saham saham likuid di Bursa Efek Indonesia periode 2008-2016. Metode pemilihan saham pembentuk portofolio pemenang dan pecundang dilakukan dengan prosedur Jegadesh dan Titman (1993) dilanjutkan dengan kalkulasi pengurangan risiko dengan pendekatan VaR-HisVol. Hasil menunjukkan untuk portofolio pemenang periode triwulanan dan semester memiliki kapasitas superior mengurangi risiko portofolio daripada pecundang.
Kata kunci— Investasi, Strategi, Portofolio, VaR