VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA'S LIQUID STOCKS PORTFOLIO

Authors

  • A.Rowland Bismark Fernando Pasaribu

DOI:

https://doi.org/10.25124/jmi.v19i1.1982

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

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Published

2019-05-21

How to Cite

Pasaribu, A. B. F. (2019). VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA’S LIQUID STOCKS PORTFOLIO. Jurnal Manajemen Indonesia, 19(1), 30–45. https://doi.org/10.25124/jmi.v19i1.1982