Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

Performance Evaluation of Momentum Strategy using 52-week high data in Indonesia Stock Exchange period 2012-2016

Authors
Yulius Kurniawan
Corresponding Author
Yulius Kurniawan
Available Online March 2019.
DOI
10.2991/icbmr-18.2019.31How to use a DOI?
Keywords
52-week high, portfolio attribution, sharpe, treynor, jensen
Abstract

A majority of the investors in the stock market always think that the right time to buy a stock is when there is a decline in stock price in the market. But in the real market, not all stock which declines will return to the highest level. There are several stocks which still continue to rise, and even break its highest level. The objective of this research is to evaluate the performance of momentum strategy using 52-week high data in the Indonesia Stock Exchange. This research uses monthly data of LQ45 from January 2012 until December 2016. The portfolio which is formed then will be backtested using portfolio attribution. The result shows that momentum strategy using 52- week high is able to generate the return but still below the Jakarta Composite Index. The 52-week high strategy is more effective to generate the abnormal return in small capitalization companies.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
March 2019
ISBN
10.2991/icbmr-18.2019.31
ISSN
2352-5428
DOI
10.2991/icbmr-18.2019.31How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yulius Kurniawan
PY  - 2019/03
DA  - 2019/03
TI  - Performance Evaluation of Momentum Strategy using 52-week high data in Indonesia Stock Exchange period 2012-2016
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 184
EP  - 188
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.31
DO  - 10.2991/icbmr-18.2019.31
ID  - Kurniawan2019/03
ER  -