Concurrent Momentum and Contrarian Strategies: Evidence from Indonesia

Rafik, Abdur; Marizka, Syifa Primaratri

doi:10.21002/icmr.v9i2.7724

Cited by 3 publications

(3 citation statements)

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“…Underreaction is an attitude of investors who take the position that the group of stock portfolios they invest in in the long term remains in good standing. This attitude allows investors to hold on to the information they received previously [4] This underreaction has prompted many investors to allocate funds to buy a group of portfolios that have performed well (winner) as an alternative to investing in the capital market. Because investors who purchase stock portfolios that are performing well (winner) expect the portfolio to be well in the future.…”

Section: Introductionmentioning

confidence: 99%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

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This research is a literature research review that focuses on the topic of the momentum strategy in the capital market. This strategy is a trading strategy carried out by investors by buying stocks that have performed well in the hope that the performance will continue well in the future. The results of the study show that most of the capital market investors carried out a momentum strategy even though the implementation is still inconsistent. It indicates that the development of several capital markets leads to inefficient markets.

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Section: Introductionmentioning

confidence: 99%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

View full text Add to dashboard Cite

show abstract

“…The momentum strategy is a strategy carried out by investors by buying a group of issuers or stock portfolios that are performing well (Rafik and Marizka, 2017). The existence of this momentum strategy in the capital market has been traced back to the 90s after Jegadeesh and Titman (2001) popularized it on the American stock market.…”

Section: Introductionmentioning

confidence: 99%

“…Liem (2012), the momentum strategy can be applied by investors because it has a return above the average market return. Meanwhile, Rafik and Marizka (2017) and Musnadi et al (2018) use a contrarian strategy more attractive in the long term than a momentum strategy that is only profitable in the medium term.…”

Section: Introductionmentioning

confidence: 99%

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategies in The IDX?

Syamni

Wardhiah

Majid

et al. 2021

Int. res. j. bus. stud.

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This study aims to examine the use of the momentum strategy of domestic investors who trade small order sizes on IDX. The data used in this study is intraday trade transaction data from the LQ 45 Index for March, April and May 2017 obtained from The Indonesia Capital Market Institute. The method of data analysis used is the market-adjusted model approach. The results of this study indicate that domestic investors who trade in small order sizes tend to use the momentum strategy in government and non-government stock issuers. This finding implies that when IDX is in a good performance, investors should take advantage of this condition because buying stocks that have already been performing well provides a significant short-term abnormal return.

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Investigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey

Özkan

Çakar

2021

Sosyoekonomi

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This paper investigates momentum and contrarian anomalies in Islamic stocks in Turkey. For this purpose, the wild bootstrap automatic variance ratio test was carried out using weekly prices of 10 Islamic stocks in Turkey. The analysis results showed that there are both momentum and contrarian anomalies in Islamic stocks in Turkey. It was also found that the contrarian anomaly occurs more than the momentum anomaly in the Turkish Islamic stocks, and the performance of both momentum and contrarian strategies show periodic changes. Finally, it can be concluded that abnormal returns can be obtained using the contrarian strategy for AKSUE, ALBRK, BIMAS, KONYA, the momentum strategy for BANVT, CEMTS, LOGO, and both strategies for ISDMR.

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Concurrent Momentum and Contrarian Strategies: Evidence from Indonesia

Cited by 3 publications

References 0 publications

A Review of Momentum Strategy in Capital Market

A Review of Momentum Strategy in Capital Market

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategies in The IDX?

Investigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey

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