Analisis Kinerja Portofolio Berdasarkan Strategi Momentum Studi Pada Bursa Efek Indonesia Tahun 2015-2019

Abstract

This study aims to determine the performance of the stock portfolio based on the momentum strategy on the Indonesia Stock Exchange (BEI). The population in this study are stocks listed on the Indonesia Stock Exchange (IDX) which are classified as winners and losers with an observation period from February 1, 2015 to 2019. This study uses a nonrandom sample with a jugdement sampling method with the aim of obtaining a sampling that has characteristics which is desired. The samples of this study are stocks that are listed on the IDX continuously during the 2015-2019 research period, and stocks that are included in the winner and loser groups for the formation period of 1 month. Data processing in this study uses SPSS version 24. The results of this study indicate that the momentum strategy does not apply in Indonesia. Investor overreaction is one of the reasons that investors do not use momentum strategies in investing. Investors do not really care about prices that exist in the past that can be used as information in using investment strategies.