The Momentum Strategy of Small Foreign Investors in the Indonesia Stock Exchange

• 발행기관: 한국유통과학회
• 저자명: Ghazali SYAMNI Nasir AZIS Said MUSNADI Faisal FAISAL
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 361~372쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This research aimed to analyze the momentum strategy of foreign investors with the smallest trading transactions in the Indonesian stock market. This study applied a quantitative method approach using intraday transaction data of companies listed on the LQ-45 Index for March, April, and May 2017, obtained from the Indonesia Capital Market Institute (TICMI) which is a subsidiary of the Indonesia Stock Exchange (IDX). The number of companies with available data is 35 companies, consisting of 23 non-government stocks and 12 government stocks. The number of observations from the 35 companies was 8,686,030 observations where the government companies recorded 2,751, 545 and the non-government companies 1,387,016 observations. All data was then squeezed and grouped into small, medium, and large trade transaction orders. The data analysis method used was paired t-test with SPSS to analyze cumulative abnormal returns in the formulation and test periods. This study found that small foreign investors carried out momentum strategies on stocks listed on the LQ-45 Index. However, re-testing was done by separating government and non-government shares. It turned out that small foreign investors performed a momentum strategy on non-government and a contrarian strategy on government.

목차

1. Introduction

2. Literature Review

3. Research Method

4. Results

5. Conclusions

References

키워드

Strategy Momentum Foreign Investor Indonesia