PENGARUH STRATEGI VALUE, SIZE DAN MOMENTUM TERHADAP EXCESS RETURN DI INDONESIA

Gleny Gleny, William Tjong

Abstract


The purpose of this research is to investigate the impact from the strategies that used by investors in Indonesia, such as value, size and momentum strategy. Sample data is a monthly data of 100 non-financial individual stocks which fulfill the requirement, from July 2006 – December 2010 and use 12 months holding period. This research also use ARCH method to test heteroscedasticity and VIF method to test multicolinearity. The outcome form this research is value strategy based on book to market ratio, size strategy based on market capitalization and momentum strategy based on past six months price are not significant in Indonesia. This can be happened because of the depreciation in Indonesia currency and crisis years. In addition, Indonesia is one of emerging market in Asia, so that some of the information must be difficult and make imperfect market.

Keywords


Book to Market, Market Capital, Momentum, Regresi Berganda.

Full Text:

PDF

References


Berk, Jonathan and Peter DeMarzo.2009.Corporate Finance The Core. United States of America : Pearson.

Bodie,Zvi, Alex Kane and Alan J. Marcus.2008.Investment and Portofolio Management, 7th edition. Singapore :McGraw Hill

,2011.Investment and Portofolio Management, 9th edition. Singapore :McGraw Hill

Cakici,Nusret and Sinan Tan,2013,Size,Value and Momentum in Emerging Market Stock Return.Emerging Market Review.

Chui,Andy.C.W. and K.C.John Wei,1998,Book to Market, Firm Size and the Turn Og The Year Effect: Evidence from Pasific Basin Emerging Market.Pasific Basin Journal ,275-293.

Emerging Money,”What is the difference between a developed,emerging and frontier market?”. Emerging Money online. Available from http://emergingmoney.com/bric/what-is-the-difference-betweem-a-developed-emerging-frontier-market-anyway/ ;Internet asscessed 2 April 2013.

Fama, Eugine F., and Kenneth R. French, 1992, The Cross Section of Expected Stock Return,Journal of Finance 47,472-465

,1993, Common Risk Factor in The Returns on Stock and Bonds.Journal of Financial of Economics 33,3-56.

,1995. Size and Book to Mrket Factors In Earning and Returns, Journal of Finance 50,131-155.

Gujarati, Damodar N., 2003. Basic Econometrics, 4th edition. Singapore: McGraw-Hill.

Groot, de Wilma,Juan Pang and LaurensSwinkels.2012.The Cross Section of Stock Returns In Fontier Emerging Markets.Journal of Empirical Finance 19,796-818.

Hill, R. Carter, William E. Griffiths and Guay C. Lim, 2012. Principles of Econometrics, 4th edition. United State: John Wiley & Sons(Asia) Pte Ltd.

Indonesiafinancetoday. “Investor Asing Akumulasi Saham Awal Tahun”.Indonesia Finance Today. Available from http://www.indonesiafinancetoday.com/read/38697/Investor-Asing-Akumulasi-Saham-Awal-Tahun ;Internet: accessed 2 April 2013.

Indonesiarecovery. “Krisis Global 2008”.Indonesia Recovery. Available from http://www.indonesiarecovery.com/krisis-keuangan-global-2008.htm; Internet: accessed 22 April 2013.

Jegadessh, Narasimhan and Sheridan Titman. 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 65-91.

Kompas.”Suku Bunga Bank Sama”.Koran Kompas online.Available from http://bisniskeuangan.kompas.com/read/2012/03/12/23573740/suku.bunga.bank.sama ; Internet accessed 23April 2013.

Koran Jakarta.”Negara Berkembang Pergerak Utama Ekonomi Global”. Koran Jakarta online. Available from http://koran-jakarta.com/index.php/detail/view01/110466; Internet accessed 22 April 2013.

Maddala, C.S., 2001. Introduction To Econometrics, 3th edition. England: John Wiley & Sons Ltd

Manurung. Jonni J., Adler Haymans Manurung dan Ferdinand Dehoutman Saragih.2005.Ekonometrika:Teoro dan Aplikasi.Jakarta:Elex Media Komputindo.

Nachrowi, Nachrowi D. dan Hardius Usman, 2006. Pendekatan Populer dan Praktis Ekonometrika Untuk Analisis Ekonomi dan Keuangan , Jakarta: Fakultas Ekonomi Universitas Indonesia.

Papaioannou, Michae.1997.Emerging Market PortfoliosDifersification and Hedging Strategies.United States of America: MCGrow Hill.

Reilly, Frank K. and Keith C. Brown.2006. Investment Analysis and Portfolio Management. United States of America :Thomson.

, Edgar A. Norton.2006.Investment, 7th edition. Canada:Thomson.

Ross,Stepen A., Radolph W.Wasterfield and Bradford D.Jordan, 2010. Fundamental of Corporate Finance,9th edition. Singaore:McGraw Hill.

Shapiro, Alan C.2005.Foundation of Multinational Financial Management,5th edition. United States of America:Wiley.

Shefrin, Hersh.2007.Behavioral Corporate Finance: Decision That Create Value.Singapore:McGraw Hill.

Tribune News, “Ekonomi RI Tahun 2012 Tumbuh 63 persen”. Tribune News Online. Available from http://tribunenews.com/2012/12/29/ekonomi-ri-tahun-2012-tumbuh-63-persen. ; Internet accessed 22 April 2013.

Vibiznews.” ASEAN Akan Jadi Penopang Ekonomi Global di 2013”.Vibiznews Economy & Business.Available from http://www.vibiznews.com/2013-01-04/asean-akan-jadi-penopang-ekonomi-global-di-2013; Internet accessed 22April 2013.

Zarowin, Paul,1990,Size,Seasonality and Stock Market Overreaction,Journal of Financial and Quantitative Analysis 25,113-125. Bank Indonesia.Daya Tahan Ekonomi Asia di Tengah Krisis Global.2012.




DOI: http://dx.doi.org/10.12962/j24433527.v7i2.587

Refbacks

  • There are currently no refbacks.


Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

p-ISSN (1979-5521)  e-ISSN (2443-3527)