PENGARUH STRATEGI VALUE, SIZE DAN MOMENTUM TERHADAP EXCESS RETURN DI INDONESIA
Journal Title: Jurnal Sosial Humaniora - Year 2014, Vol 7, Issue 2
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.
Authors and Affiliations
Gleny Gleny, William Tjong
Keywords
Related Articles
- EP ID EP185465
- DOI 10.12962/j24433527.v7i2.587
- Views 81
- Downloads 0
PLURALISME DALAM PROBLEMA
Pluralisme yang dimaksudkan dalam tulisan ini adalah pluralisme agama. Pluralisme dalam bidang itu telah lama diperdebatkan oleh sebagian cendekiawan agama. Hampir di setiap agama besar semisal Yahudi, Kristen, dan Is...
STUDI KEMASYARAKATAN PENANGANAN KORBAN BENCANA BANJIR DAN TANAH LONGSOR DI JEMBER 2006
This article is the report of the research result. The research aims to know how strategy of adaptation was carried out by the victim of disaster of torrent and landslide in Jember, early January 2006. The research met...
Pemetaan Potensi dan Dampak Ekonomi Masyarakat di Kawasan Pertambangan Bukit Tumpang Pitu Banyuwangi
Bukit Tumpang Pitu is located in Sumber Agung village, district of Pesanggaran, Banyuwangi region. There ara seven hills around Bukit Tumpang and it contains gold minning resourses. Since 2000, this area had been minning...
AKHLAQ DALAM PERSPEKTIF SUFISTIK
Al Qur-an suci menyabdakan, terjemahnya,”Kecuali (adalah bagi) orang-orang yang menghadapkan diri kepada Allah dengan hati yang bersih….(Q.S.26:89). Kebalikannya,”…yang di dalam hatinya ada penyakit,” (Q.S.2:10). Orang i...
PEMENUHAN HAK ISTRI ATAS HARTA GONO GINI DI PENGADILAN AGAMA PAMEKASAN
Upaya-upaya yang dilakukan istri dalam memperjuangkan hak atas harta gono gini di Pengadilan Agama Pamekasan dilakukan melalui (a) melalui pengajuan Gugatan gono gini secara tersendiri pasca perceraian. (b) gugatan gono...